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 12 months ago

4.15 score 2 stars 236 scripts 582 downloads

qrng - (Randomized) Quasi-Random Number Generators

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

Last updated 12 months ago

4.02 score 1 stars 31 dependents 33 scripts 3.4k 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 10 days ago

3.43 score 2 scripts 763 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 dependents 67 scripts 306 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 12 months ago

2.90 score 1 stars 40 scripts 299 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 12 months ago

2.21 score 163 scripts 405 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 12 months ago

1.28 score 19 scripts 877 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 12 months ago

1.15 score 14 scripts 223 downloads