Tools for Quantitative Risk Management

alloc | Computing allocations |

ARMA_GARCH | Fitting ARMA-GARCH Processes |

Black_Scholes | Black-Scholes formula and the Greeks |

catch | Catching Results, Warnings and Errors Simultaneously |

edf_plot | Plot of an Empirical Distribution Function |

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 |

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 |

tail_plot | Plot of an Empirical Surival Function with Smith Estimator |

tests | Formal Tests of Multivariate Normality |

VaR_ES_bounds | Worst and Best Value-at-Risk and Best Expected Shortfall for... |

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