GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

R package for Global Association of Risk Professionals: Financial Risk Manager

AuthorRoss Bennett and Thomas Fillebeen
Date of publication2015-02-07 17:16:00
MaintainerThomas Fillebeen <tdf17@uw.edu>
LicenseGPL
Version0.1.0

View on R-Forge

Man pages

backtestVaR: Backtest Value-at-Risk (VaR)

backtestVaR.GARCH: GARCH Model VaR Backtest

bondConvexity: Calculate the convexity of a fixed rate coupon bond

bondDuration: Calculate the duration of a bond

bondFullPrice: bondFullPrice

bondPrice: Estimate price of bond

bondSpec: Constructor for bond specification

bondYTM: Calculate the yield to maturity of a bond

bootCor: Bootstrap Correlation

bootCov: Bootstrap Covariance

bootES: Bootstrap Expected Shortfall

bootFUN: Bootstrap

bootMean: Bootstrap Mean

bootSD: Bootstrap Standard Deviation

bootSimpleVolatility: Bootstrap Simple Volatility

bootStdDev: Bootstrap StdDev

bootVaR: Bootstrap Value at Risk

CAPM: Capital Asset Pricing Model

chartSML: CAPM SML

compoundingRate: Estimate continuously conpounding rate to be used in term...

computeGreeks: Option Greeks

consumption: consumption data

discountFactor: Estimate discountFactor

efficientFrontier: Efficient Frontier

efficientFrontierTwoAsset: Efficient Frontier for Portfolio of Two Assets

endingPrices: Ending Prices of Monte Carlo Simulation

estimateLambdaCor: Estimated Lambda

estimateLambdaCov: Estimated Lambda

estimateLambdaVol: Estimated Lambda

EWMA: EWMA Model

fama_french_factors: Factors for the Fama/French 3 factor model

forecast: Model Forecasting

forecast.uvEWMAvol: Forecast Univariate EWMA Volatility Model

forecast.uvGARCH: Forecast Univariate GARCH Models

GARP_FRM-package: Functions to implement the topics presented in 'Financial...

getAlphas: CAPM alphas

getBetas: CAPM betas

getCor: EWMA Correlation

getCov: EWMA Covariance

getEstimate: Get Estimated Values

getFit: Get Fitted GARCH Model

getLoadings: Retrieve PCA loadings

getSpec: Get GARCH Model Specification

getStatistics: CAPM statistics

getVaREstimates: VaR Estimates Extract VaR Estimates from a VaR Backtest

getVaRViolations: VaR Violations Extract VaR Violations from a VaR Backtest

getWeights: Retrieve PCA weights

hypTest: CAPM Hypothesis Test

impliedVolatility: Implied Volatility

impliedVolBS: Implied Volatility Bisection Method

is.bond: To determine if user is specifying bond parameters correctly

largecap.ts: CRSP Large Cap Monthly Returns

largecap_weekly: CRSP Large Cap Weekly Returns

linearHedge: Estimate the delta hedge of for a bond

microcap.ts: CRSP Micro Cap Monthly Returns

microcap_weekly: CRSP Micro Cap Weekly Returns

midcap.ts: CRSP Mid Cap Monthly Returns

midcap_weekly: CRSP Mid Cap Weekly Returns

minVarPortfolio: Minimum Variance Portfolio

monteCarlo: Monte Carlo Price Path Simulation

optionSpec: Option Specification

optionValue: Option Value

PCA: Estimate PCA loadings and create a PCA object

plot.backtestVaR: Plotting for VaR Backtest

plot.capm_mlm: Plotting method for CAPM

plot.capm_uv: Plotting method for CAPM

plot.efficient.frontier: Efficient Frontier Plot

plot.efTwoAsset: Efficient Frontier Plot

plotEndingPrices: Plot Ending Prices

plot.EWMA: Plot EWMA Model Estimates

plot.PCA: Plotting method for PCA

plot.uvGARCH: Plot GARCH Model

portReturnTwoAsset: Portfolio Return for a Portfolio of Two Assets

portSDTwoAsset: Portfolio Standard Deviation for a Portfolio of Two Assets

prices: Equity Prices

realizedCor: Realized Correlation

realizedCov: Realized Covariance

realizedVol: Realized Volatility

returns: Equity Returns

rollCor: Rolling Correlation Estimate

rollCov: Rolling Covariance Estimate

rollSD: Rolling Standard Deviation Estimate

rollSimpleVolatility: Rolling Simple Volatility Estimate

simpleVolatility: Simple Volatility

smallcap.ts: CRSP Small Cap Monthly Returns

smallcap_weekly: CRSP Small Cap Weekly Returns

spotForwardRates: Estimate spot and forward rates

tangentPortfolio: Tangent Portfolio

uvGARCH: Univariate GARCH Model

vasicekPrice: There are three main types of yield curve shapes: normal,...

yieldCurveVasicek: Estimate Vasicek zero-coupon yield

ytmSolve: Solve for the yield to maturity of a bond

Files in this package

GARPFRM/DESCRIPTION
GARPFRM/NAMESPACE
GARPFRM/R
GARPFRM/R/EWMA.R GARPFRM/R/backTestVaR.R GARPFRM/R/boot.R GARPFRM/R/capm.R GARPFRM/R/discountFactorArbitrage.R GARPFRM/R/efficient_frontier.R GARPFRM/R/garch11.R GARPFRM/R/generic_forecast.R GARPFRM/R/monte_carlo.R GARPFRM/R/options.R GARPFRM/R/riskMetricsAndHedges.R GARPFRM/R/rollFUN.R GARPFRM/R/utils.R GARPFRM/R/volatility.R
GARPFRM/README
GARPFRM/data
GARPFRM/data/bonds.rda
GARPFRM/data/consumption.csv.gz
GARPFRM/data/consumption.rda
GARPFRM/data/crsp.short.rda
GARPFRM/data/crsp_weekly.rda
GARPFRM/data/fama_french_factors.rda
GARPFRM/data/prices.rda
GARPFRM/data/returns.rda
GARPFRM/data/treasuryts.rda
GARPFRM/demo
GARPFRM/demo/00Index
GARPFRM/demo/DataAccess.R
GARPFRM/demo/DelineatingEfficientPortfolios.R
GARPFRM/demo/EWMA.R
GARPFRM/demo/EstimatingVolatilitiesCorrelation.R
GARPFRM/demo/Fixed.R
GARPFRM/demo/MonteCarloMethods.R
GARPFRM/demo/PerformanceMeasures.R
GARPFRM/demo/QuantifyingVolatilityVaRModels.R
GARPFRM/demo/QuantitativeAnalysisBasics.R
GARPFRM/demo/RiskMetricsAndHedges.R
GARPFRM/demo/backtest_VaR.R
GARPFRM/demo/bootstrap.R
GARPFRM/demo/demo_CAPM.R
GARPFRM/demo/demo_EWMA_GARCH11.R
GARPFRM/demo/monte_carlo.R
GARPFRM/demo/univariate_GARCH.R
GARPFRM/inst
GARPFRM/inst/doc
GARPFRM/inst/doc/CAPM_TF.pdf
GARPFRM/inst/doc/DataAccess.pdf
GARPFRM/inst/doc/DelineatingEfficientPortfolios.pdf
GARPFRM/inst/doc/EstimatingVolatilitiesCorrelation.pdf
GARPFRM/inst/doc/MonteCarloMethods.pdf
GARPFRM/inst/doc/PerformanceMeasures.pdf
GARPFRM/inst/doc/QuantifyingVolatilityVaRModels.pdf
GARPFRM/inst/doc/QuantitativeAnalysisBasics.pdf
GARPFRM/inst/doc/WebApplications.pdf
GARPFRM/man
GARPFRM/man/CAPM.Rd GARPFRM/man/EWMA.Rd GARPFRM/man/GARP_FRM-package.Rd GARPFRM/man/PCA.Rd GARPFRM/man/backtestVaR.GARCH.Rd GARPFRM/man/backtestVaR.Rd GARPFRM/man/bondConvexity.Rd GARPFRM/man/bondDuration.Rd GARPFRM/man/bondFullPrice.Rd GARPFRM/man/bondPrice.Rd GARPFRM/man/bondSpec.Rd GARPFRM/man/bondYTM.Rd GARPFRM/man/bootCor.Rd GARPFRM/man/bootCov.Rd GARPFRM/man/bootES.Rd GARPFRM/man/bootFUN.Rd GARPFRM/man/bootMean.Rd GARPFRM/man/bootSD.Rd GARPFRM/man/bootSimpleVolatility.Rd GARPFRM/man/bootStdDev.Rd GARPFRM/man/bootVaR.Rd GARPFRM/man/chartSML.Rd GARPFRM/man/compoundingRate.Rd GARPFRM/man/computeGreeks.Rd GARPFRM/man/consumption.Rd GARPFRM/man/discountFactor.Rd GARPFRM/man/efficientFrontier.Rd GARPFRM/man/efficientFrontierTwoAsset.Rd GARPFRM/man/endingPrices.Rd GARPFRM/man/estimateLambdaCor.Rd GARPFRM/man/estimateLambdaCov.Rd GARPFRM/man/estimateLambdaVol.Rd GARPFRM/man/fama_french_factors.Rd GARPFRM/man/forecast.Rd GARPFRM/man/forecast.uvEWMAvol.Rd GARPFRM/man/forecast.uvGARCH.Rd GARPFRM/man/getAlphas.Rd GARPFRM/man/getBetas.Rd GARPFRM/man/getCor.Rd GARPFRM/man/getCov.Rd GARPFRM/man/getEstimate.Rd GARPFRM/man/getFit.Rd GARPFRM/man/getLoadings.Rd GARPFRM/man/getSpec.Rd GARPFRM/man/getStatistics.Rd GARPFRM/man/getVaREstimates.Rd GARPFRM/man/getVaRViolations.Rd GARPFRM/man/getWeights.Rd GARPFRM/man/hypTest.Rd GARPFRM/man/impliedVolBS.Rd GARPFRM/man/impliedVolatility.Rd GARPFRM/man/is.bond.Rd GARPFRM/man/largecap.ts.Rd GARPFRM/man/largecap_weekly.Rd GARPFRM/man/linearHedge.Rd GARPFRM/man/microcap.ts.Rd GARPFRM/man/microcap_weekly.Rd GARPFRM/man/midcap.ts.Rd GARPFRM/man/midcap_weekly.Rd GARPFRM/man/minVarPortfolio.Rd GARPFRM/man/monteCarlo.Rd GARPFRM/man/optionSpec.Rd GARPFRM/man/optionValue.Rd GARPFRM/man/plot.EWMA.Rd GARPFRM/man/plot.PCA.Rd GARPFRM/man/plot.backtestVaR.Rd GARPFRM/man/plot.capm_mlm.Rd GARPFRM/man/plot.capm_uv.Rd GARPFRM/man/plot.efTwoAsset.Rd GARPFRM/man/plot.efficient.frontier.Rd GARPFRM/man/plot.uvGARCH.Rd GARPFRM/man/plotEndingPrices.Rd GARPFRM/man/portReturnTwoAsset.Rd GARPFRM/man/portSDTwoAsset.Rd GARPFRM/man/prices.Rd GARPFRM/man/realizedCor.Rd GARPFRM/man/realizedCov.Rd GARPFRM/man/realizedVol.Rd GARPFRM/man/returns.Rd GARPFRM/man/rollCor.Rd GARPFRM/man/rollCov.Rd GARPFRM/man/rollSD.Rd GARPFRM/man/rollSimpleVolatility.Rd GARPFRM/man/simpleVolatility.Rd GARPFRM/man/smallcap.ts.Rd GARPFRM/man/smallcap_weekly.Rd GARPFRM/man/spotForwardRates.Rd GARPFRM/man/tangentPortfolio.Rd GARPFRM/man/uvGARCH.Rd GARPFRM/man/vasicekPrice.Rd GARPFRM/man/yieldCurveVasicek.Rd GARPFRM/man/ytmSolve.Rd
GARPFRM/sandbox
GARPFRM/sandbox/CAPM_TF.R
GARPFRM/sandbox/Correlation_Volatility_TF.Rnw
GARPFRM/sandbox/GARPFRM_Outline.Rmd
GARPFRM/sandbox/crsp_weekly_data.R
GARPFRM/sandbox/equity_data_download.R
GARPFRM/sandbox/garch_models.R
GARPFRM/sandbox/loop_rollapply_benchmark.R
GARPFRM/sandbox/oldEWMA.R
GARPFRM/sandbox/principleComponent.R
GARPFRM/sandbox/project_plan
GARPFRM/sandbox/project_plan/project_plan.pdf
GARPFRM/sandbox/project_plan/project_plan.tex
GARPFRM/sandbox/quantifying_vol.R
GARPFRM/sandbox/regression_example.R
GARPFRM/sandbox/ross_EWMA.R
GARPFRM/sandbox/test_EWMA_GARCH.R
GARPFRM/sandbox/test_VaR.R
GARPFRM/sandbox/test_boot.R
GARPFRM/sandbox/test_capm.R
GARPFRM/sandbox/test_capm_rb.R
GARPFRM/sandbox/test_discountFactorArbitrage.R
GARPFRM/sandbox/test_kirk.R
GARPFRM/sandbox/test_options.R
GARPFRM/sandbox/test_performance_measure.r
GARPFRM/sandbox/vignette_to_demo.R
GARPFRM/vignettes
GARPFRM/vignettes/BSM_and_Greeks.Rnw
GARPFRM/vignettes/BinomialTrees.Rnw
GARPFRM/vignettes/CAPM_TF.Rnw
GARPFRM/vignettes/CAPM_TF.lyx
GARPFRM/vignettes/DataAccess.Rnw
GARPFRM/vignettes/DataAccess.lyx
GARPFRM/vignettes/DelineatingEfficientPortfolios.Rnw
GARPFRM/vignettes/EstimatingVolatilitiesCorrelation.Rnw
GARPFRM/vignettes/EstimatingVolatilitiesCorrelation.lyx
GARPFRM/vignettes/FixedIncome.lyx
GARPFRM/vignettes/GARPFRM.bib
GARPFRM/vignettes/HedgeMetrics.lyx
GARPFRM/vignettes/MonteCarloMethods.Rnw
GARPFRM/vignettes/PerformanceMeasures.Rnw
GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw
GARPFRM/vignettes/QuantitativeAnalysisBasics.Rnw
GARPFRM/vignettes/WebApplications.Rnw

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.