qrmtools: Tools for Quantitative Risk Management
Version 0.0-6

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.

AuthorMarius Hofert [aut, cre], Kurt Hornik [aut]
Date of publication2016-05-29 21:14:06
MaintainerMarius Hofert <marius.hofert@uwaterloo.ca>
LicenseGPL-2 | GPL-3
Version0.0-6
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("qrmtools")

Getting started

Fitting and Predicting VaR based on an ARMA-GARCH Process
Worst Value-at-Risk under Known Margins

Popular man pages

ARMA_GARCH: Fitting ARMA-GARCH Processes
Black_Scholes: Black-Scholes formula and the Greeks
catch: Catching Results, Warnings and Errors Simultaneously
get_data: Tools for Getting and Working with Data
GEV: Generalized Extreme Value Distribution
GPD: (Generalized) Pareto Distribution
VaR_bounds: Best and Worst Value-at-Risk for Given Margins
See all...

All man pages Function index File listing

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

Functions

ARA Man page Source code
Black_Scholes Man page Source code
Black_Scholes_Greeks Man page Source code
ES_Par Man page Source code
ES_t Man page Source code
RA Man page Source code
VaR_Par Man page Source code
VaR_bounds_hom Man page Source code
VaR_t Man page Source code
Wang_h Source code
Wang_h_aux Source code
bar_pPar_primitive Source code
catch Man page Source code
check_distr Source code
composite Source code
crude_VaR_bounds Man page Source code
dGEV Man page Source code
dGPD Man page Source code
dPar Man page Source code
dcomposite Source code
density_plot_matrix Man page Source code
dual_bound Man page Source code
dual_bound_2 Source code
dual_bound_2_deriv_term Source code
eval_named_distr Source code
fit_ARMA_GARCH Man page Source code
get_data Man page Source code
indices_opp_ordered_to Source code
log_returns Man page Source code
num_of_opp_ordered_cols Source code
pGEV Man page Source code
pGPD Man page Source code
pPar Man page Source code
pcomposite Source code
plot_NA Man page Source code
plot_matrix Man page Source code
qGEV Man page Source code
qGPD Man page Source code
qPar Man page Source code
qcomposite Source code
rGEV Man page Source code
rGPD Man page Source code
rPar Man page Source code
rcomposite Source code
rearrange Man page Source code

Files

TODO
inst
inst/doc
inst/doc/ARMA_GARCH_VaR.Rmd
inst/doc/ARMA_GARCH_VaR.R
inst/doc/VaR_bounds.html
inst/doc/VaR_bounds.Rmd
inst/doc/ARMA_GARCH_VaR.html
inst/doc/VaR_bounds.R
src
src/VaR_bounds.h
src/init.c
src/VaR_bounds.c
NAMESPACE
demo
demo/00Index
demo/composite.R
R
R/get_data.R
R/GPD.R
R/graphics.R
R/returns.R
R/risk_measures.R
R/VaR_bounds.R
R/composite.R
R/GEV.R
R/Black_Scholes.R
R/catch.R
R/ARMA_GARCH.R
vignettes
vignettes/ARMA_GARCH_VaR.Rmd
vignettes/VaR_bounds.Rmd
vignettes/style.css
MD5
build
build/vignette.rds
DESCRIPTION
man
man/GEV.Rd
man/ARMA_GARCH.Rd
man/Black_Scholes.Rd
man/risk_measures.Rd
man/density_plot_matrix.Rd
man/plot_NA.Rd
man/catch.Rd
man/get_data.Rd
man/plot_matrix.Rd
man/VaR_bounds.Rd
man/returns.Rd
man/GPD.Rd
qrmtools documentation built on May 19, 2017, 9:58 a.m.

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