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QRM (version 0.4-35)

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

1,247

Version

0.4-35

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

April 6th, 2025

Functions in QRM (0.4-35)

Peaks-over-Threshold Method

Normal Inverse Gaussian and Hyperbolic Distribution

Multivariate Gauss Distribution

Generalized Pareto Distribution

Generic Quantile-Quantile Plot

Assemble a Correlation Matrix for ML Copula Fitting

Spearman's Rank Correlation

Gumbel Distribution

Quantitative Risk Modelling

Defunct Functions in Package QRM

Empirical Distribution Function

Make Matrix Positive Definite

Danish Fire Losses

Student's t Distribution

Dow Jones Index

Swiss Market Index

Standard and Poors 500 Index

Standard and Poors Default Data

Nikkei Stock Market Index

Hang Seng Stock Market Index

Standard and Poors Default Data

NASDAQ Stock Market Index

Xetra DAX German Index

FTSE 100 Stock Market Index

Equal Correlation Matrix

CAC 40 Stock Market Index (France)

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

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

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

Expected Shortfall

Generalized Extreme Value Distribution

Uni- and Multivariate Generalized Hyperbolic Distribution

Dow Jones 30 Stock Prices

Credit Risk Modelling

Student's t Copula

Sterling Exchange Rates

Bivariate Density Plot

Disassemble a Correlation Matrix for ML Copula Fitting

Archimedean Copulae

Generalized Inverse Gaussian Distribution

Kendall's Rank Correlation