Man pages for qrmtools
Tools for Quantitative Risk Management
| alloc | Computing allocations |
| Black_Scholes | Black-Scholes formula and the Greeks |
| Brownian | Brownian and Related Motions |
| catch | Catching Results, Warnings and Errors Simultaneously |
| fit_ARMA_GARCH | Fitting ARMA-GARCH Processes |
| fit_GARCH_11 | Fast(er) and Numerically More Robust Fitting of GARCH(1,1)... |
| fit_GEV | Parameter Estimators of the Generalized Extreme Value... |
| fit_GPD | Parameter Estimators of the Generalized Pareto Distribution |
| get_data | Tools for Getting and Working with Data |
| GEV | Generalized Extreme Value Distribution |
| GEV_shape_plot | Fitted GEV Shape as a Function of the Threshold |
| GPD | (Generalized) Pareto Distribution |
| GPD_shape_plot | Fitted GPD Shape as a Function of the Threshold |
| GPDtail | GPD-Based Tail Distribution (POT method) |
| hierarchical_matrix | Construction of Hierarchical Matrices |
| Hill | Hill Estimator and Plot |
| matrix_density_plot | Density Plot of the Values from a Lower Triangular Matrix |
| matrix_plot | Graphical Tool for Visualizing Matrices |
| mean_excess | Mean Excess |
| NA_plot | Graphical Tool for Visualizing NAs in a Data Set |
| pp_qq_plot | P-P and Q-Q Plots |
| returns | Computing Returns and Inverse Transformation |
| risk_measures | Risk Measures |
| step_plot | Plot of Step Functions, Empirical Distribution and Quantile... |
| tail_plot | Plot of an Empirical Surival Function with Smith Estimator |
| tests | Formal Tests of Multivariate Normality |
| VaR_ES_bounds_analytical | "Analytical" Best and Worst Value-at-Risk for Given Marginals |
| VaR_ES_bounds_rearrange | Worst and Best Value-at-Risk and Best Expected Shortfall for... |
