qrmtools: Tools for Quantitative Risk Management

Functions and data sets for reproducing selected results from the book "Quantitative Risk Management: Concepts, Techniques and Tools". Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.

Author
Marius Hofert [aut, cre], Kurt Hornik [aut]
Date of publication
2016-05-29 21:14:06
Maintainer
Marius Hofert <marius.hofert@uwaterloo.ca>
License
GPL-2 | GPL-3
Version
0.0-6

View on CRAN

Man pages

ARMA_GARCH
Fitting ARMA-GARCH Processes
Black_Scholes
Black-Scholes formula and the Greeks
catch
Catching Results, Warnings and Errors Simultaneously
density_plot_matrix
Density Plot of the Values from a Lower Triangular Matrix
get_data
Tools for Getting and Working with Data
GEV
Generalized Extreme Value Distribution
GPD
(Generalized) Pareto Distribution
plot_matrix
Graphical Tool for Visualizing Matrices
plot_NA
Graphical Tool for Visualizing NAs in a Data Set
returns
Compute Log-Returns or the Inverse Transformation
risk_measures
Risk Measures
VaR_bounds
Best and Worst Value-at-Risk for Given Margins

Files in this package

qrmtools
qrmtools/TODO
qrmtools/inst
qrmtools/inst/doc
qrmtools/inst/doc/ARMA_GARCH_VaR.Rmd
qrmtools/inst/doc/ARMA_GARCH_VaR.R
qrmtools/inst/doc/VaR_bounds.html
qrmtools/inst/doc/VaR_bounds.Rmd
qrmtools/inst/doc/ARMA_GARCH_VaR.html
qrmtools/inst/doc/VaR_bounds.R
qrmtools/src
qrmtools/src/VaR_bounds.h
qrmtools/src/init.c
qrmtools/src/VaR_bounds.c
qrmtools/NAMESPACE
qrmtools/demo
qrmtools/demo/00Index
qrmtools/demo/composite.R
qrmtools/R
qrmtools/R/get_data.R
qrmtools/R/GPD.R
qrmtools/R/graphics.R
qrmtools/R/returns.R
qrmtools/R/risk_measures.R
qrmtools/R/VaR_bounds.R
qrmtools/R/composite.R
qrmtools/R/GEV.R
qrmtools/R/Black_Scholes.R
qrmtools/R/catch.R
qrmtools/R/ARMA_GARCH.R
qrmtools/vignettes
qrmtools/vignettes/ARMA_GARCH_VaR.Rmd
qrmtools/vignettes/VaR_bounds.Rmd
qrmtools/vignettes/style.css
qrmtools/MD5
qrmtools/build
qrmtools/build/vignette.rds
qrmtools/DESCRIPTION
qrmtools/man
qrmtools/man/GEV.Rd
qrmtools/man/ARMA_GARCH.Rd
qrmtools/man/Black_Scholes.Rd
qrmtools/man/risk_measures.Rd
qrmtools/man/density_plot_matrix.Rd
qrmtools/man/plot_NA.Rd
qrmtools/man/catch.Rd
qrmtools/man/get_data.Rd
qrmtools/man/plot_matrix.Rd
qrmtools/man/VaR_bounds.Rd
qrmtools/man/returns.Rd
qrmtools/man/GPD.Rd