qrmtools: Tools for Quantitative Risk Management

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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
2016-11-13 21:42:01
Maintainer
Marius Hofert <marius.hofert@uwaterloo.ca>
License
GPL-2 | GPL-3
Version
0.0-7

View on R-Forge

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
matrix_density_plot
Density Plot of the Values from a Lower Triangular Matrix
matrix_plot
Graphical Tool for Visualizing Matrices
NA_plot
Graphical Tool for Visualizing NAs in a Data Set
pp_qq_plot
P-P and Q-Q Plots
returns
Compute Log-Returns or the Inverse Transformation
risk_measures
Risk Measures
VaR_ES_bounds
Worst and Best Value-at-Risk and Best Expected Shortfall for...

Files in this package

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