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

Functions

backtestVaR Man page
backtestVaR.GARCH Man page
bondConvexity Man page
bondDuration Man page
bondFullPrice Man page
bondPrice Man page
bondSpec Man page
bondYTM Man page
bootCor Man page
bootCov Man page
bootES Man page
bootFUN Man page
bootMean Man page
bootSD Man page
bootSimpleVolatility Man page
bootStdDev Man page
bootVaR Man page
CAPM Man page
chartSML Man page
compoundingRate Man page
computeGreeks Man page
consumption Man page
deltaBS Man page
deltaBS, Man page
discountFactor Man page
efficientFrontier Man page
efficientFrontierTwoAsset Man page
endingPrices Man page
estimateLambdaCor Man page
estimateLambdaCov Man page
estimateLambdaVol Man page
EWMA Man page
fama_french_factors Man page
forecast Man page
forecast.uvEWMAvol Man page
forecast.uvGARCH Man page
gammaBS Man page
gammaBS, Man page
GARPFRM Man page
GARPFRM-package Man page
getAlphas Man page
getBetas Man page
getCor Man page
getCov Man page
getEstimate Man page
getFit Man page
getLoadings Man page
getSpec Man page
getStatistics Man page
getVaREstimates Man page
getVaRViolations Man page
getWeights Man page
hypTest Man page
impliedVolatility Man page
impliedVolBS Man page
is.bond Man page
largecap.ts Man page
largecap_weekly Man page
linearHedge Man page
microcap.ts Man page
microcap_weekly Man page
midcap.ts Man page
midcap_weekly Man page
minVarPortfolio Man page
monteCarlo Man page
optionSpec Man page
optionValue Man page
PCA Man page
plot.backtestVaR Man page
plot.capm_mlm Man page
plot.capm_uv Man page
plot.efficient.frontier Man page
plot.efTwoAsset Man page
plotEndingPrices Man page
plot.EWMA Man page
plot.PCA Man page
plot.uvGARCH Man page
portReturnTwoAsset Man page
portSDTwoAsset Man page
prices Man page
realizedCor Man page
realizedCov Man page
realizedVol Man page
returns Man page
rhoBS Man page
rollCor Man page
rollCov Man page
rollSD Man page
rollSimpleVolatility Man page
simpleVolatility Man page
smallcap.ts Man page
smallcap_weekly Man page
spotForwardRates Man page
tangentPortfolio Man page
thetaBS Man page
thetaBS, Man page
uvGARCH Man page
vasicekPrice Man page
vegaBS Man page
vegaBS, Man page
yieldCurveVasicek Man page
ytmSolve Man page

Files

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