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qrmtools (version 0.0-10)

Tools for Quantitative Risk Management

Description

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.

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Version

Install

install.packages('qrmtools')

Monthly Downloads

616

Version

0.0-10

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

November 12th, 2018

Functions in qrmtools (0.0-10)

GEV

Generalized Extreme Value Distribution

GPDtail

GPD-Based Tail Distribution (POT method)

NA_plot

Graphical Tool for Visualizing NAs in a Data Set

matrix_plot

Graphical Tool for Visualizing Matrices

ARMA_GARCH

Fitting ARMA-GARCH Processes

catch

Catching Results, Warnings and Errors Simultaneously

mean_excess

Mean Excess

VaR_ES_bounds

Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals

GEV_shape_plot

Fitted GEV Shape as a Function of the Threshold

fit_GARCH_11

Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes

Black_Scholes

Black--Scholes formula and the Greeks

hierarchical_matrix

Construction of Hierarchical Matrices

pp_qq_plot

P-P and Q-Q Plots

fit_GPD

Parameter Estimators of the Generalized Pareto Distribution

fit_GEV

Parameter Estimators of the Generalized Extreme Value Distribution

matrix_density_plota

Density Plot of the Values from a Lower Triangular Matrix

risk_measures

Risk Measures

GPD

(Generalized) Pareto Distribution

returns

Computing Returns and Inverse Transformation

get_data

Tools for Getting and Working with Data

tail_plot

Plot of a Non-Parametric Tail Estimator

GPD_shape_plot

Fitted GPD Shape as a Function of the Threshold

edf_plot

Plot of an Empirical Distribution Function

fire

Danish Fire Insurance Claims