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QRM (version 0.4-31)

Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

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Version

Install

install.packages('QRM')

Monthly Downloads

1,736

Version

0.4-31

License

GPL (>= 2)

Maintainer

Last Published

February 15th, 2020

Functions in QRM (0.4-31)

Expected Shortfall

Dow Jones 30 Stock Prices

Generalized Extreme Value Distribution

Credit Risk Modelling

Student's t Copula

Sterling Exchange Rates

Uni- and Multivariate Generalized Hyperbolic Distribution

Bivariate Density Plot

Generalized Pareto Distribution

Archimedean Copulae

Kendall's Rank Correlation

Generalized Inverse Gaussian Distribution

Computing lower and upper bounds for the (smallest or largest) VaR

Disassemble a Correlation Matrix for ML Copula Fitting

Quantitative Risk Modelling

Gumbel Distribution

Assemble a Correlation Matrix for ML Copula Fitting

Peaks-over-Threshold Method

Multivariate Gauss Distribution

Defunct Functions in Package QRM

Hang Seng Stock Market Index

Normal Inverse Gaussian and Hyperbolic Distribution

Nikkei Stock Market Index

Generic Quantile-Quantile Plot

Standard and Poors Default Data

Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()

Equal Correlation Matrix

Dow Jones Index

Standard and Poors 500 Index

Swiss Market Index

CAC 40 Stock Market Index (France)

NASDAQ Stock Market Index

Xetra DAX German Index

Empirical Distribution Function

Student's t Distribution

Spearman's Rank Correlation

Danish Fire Losses

Standard and Poors Default Data

Make Matrix Positive Definite

FTSE 100 Stock Market Index

Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation