This package is designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts.
This package provides functions for quantitative risk management as
introduced in the book “Quantitative Risk Management: Concepts,
Techniques and Tools” (henceforth: QRM). The S-Plus package
“QRMlib” has been made available the first author of the book
and can be obtained by following the instructions on
https://www.qrmtutorial.org/books. A R port of
this package has been made available on CRAN by Scott Ulmann. However,
the package failed the checks and hence has been moved to the
CRAN archive (QRMlib, version 1.4.5.1 as of 04/25/2011). This
package is based on QRMlib, but (i), not all functions have been
ported from QRMlib to QRM, (ii) the arguments of some
functions have been modified, and (iii) the manual pages have been
re-ordered by topic.
A list of the not ported functions is provided in
QRM-defunct with pointers to their replacements. This
was achieved by the inclusion of dependencies to the packages
gsl, numDeriv and timeSeries and/or resorting to
functions contained in the base installation of R. Second, in
particular with respect to passing down arguments to the routines used
in optimizations and/or argument matching, modifications to the
functions' closures were necessary. In addition, the names of
arguments in similar functions have been unified. Third, to provide
the user a faster access to the manual pages of certain risk concepts,
the functions' documentation are now ordered by concept rather than by
the name of the functions.
Without modifying the existing functions of QRMlib too much,
neither S3- nor S4-classes and methods have been included completely
by now in QRM, but the characteristic of the former package as a
collection of functions pertinent to quantitative risk modelling have
been kept intact. However, this might change in future releases of
QRM. By now, the current package can be used almost alike
QRMlib, but with the stated modifications.
McNeil, A., Frey, R. and Embrechts, P., Quantitative Risk Management: Concepts, Techniques and Tools, 2005, Princeton: Princeton University Press.