qrmtools - Tools for Quantitative Risk Management

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.

Last updated 9 months ago

4.15 score 2 stars 238 scripts 697 downloads

qrng - (Randomized) Quasi-Random Number Generators

Functionality for generating (randomized) quasi-random numbers in high dimensions.

Last updated 9 months ago

4.11 score 1 stars 30 packages 32 scripts 4.4k downloads

copulaData - Data Sets for Copula Modeling

Data sets used for copula modeling in addition to those in the R package 'copula'. These include a random subsample from the US National Education Longitudinal Study (NELS) of 1988 and nursing home data from Wisconsin.

Last updated 2 days ago

3.32 score 2 scripts 599 downloads

simsalapar - Tools for Simulation Studies in Parallel

Tools for setting up ("design"), conducting, and evaluating large-scale simulation studies with graphics and tables, including parallel computations.

Last updated 2 years ago

2.91 score 2 stars 2 packages 67 scripts 336 downloads

nvmix - Multivariate Normal Variance Mixtures

Functions for working with (grouped) multivariate normal variance mixture distributions (evaluation of distribution functions and densities, random number generation and parameter estimation), including Student's t distribution for non-integer degrees-of-freedom as well as the grouped t distribution and copula with multiple degrees-of-freedom parameters. See <doi:10.18637/jss.v102.i02> for a high-level description of select functionality.

Last updated 9 months ago

2.90 score 1 stars 40 scripts 345 downloads

qrmdata - Data Sets for Quantitative Risk Management Practice

Various data sets (stocks, stock indices, constituent data, FX, zero-coupon bond yield curves, volatility, commodities) for Quantitative Risk Management practice.

Last updated 9 months ago

2.21 score 162 scripts 336 downloads

crop - Graphics Cropping Tool

A device closing function which is able to crop graphics (e.g., PDF, PNG files) on Unix-like operating systems with the required underlying command-line tools installed.

Last updated 9 months ago

1.31 score 18 scripts 1.1k downloads

gnn - Generative Neural Networks

Tools to set up, train, store, load, investigate and analyze generative neural networks. In particular, functionality for generative moment matching networks is provided.

Last updated 9 months ago

1.15 score 14 scripts 215 downloads