Package: qrmtools 0.0-17

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.

Authors:Marius Hofert [aut, cre], Kurt Hornik [aut], Alexander J. McNeil [aut]

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qrmtools.pdf |qrmtools.html✨
qrmtools/json (API)
NEWS

# Install 'qrmtools' in R:
install.packages('qrmtools', repos = c('https://mariushofert.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

4.15 score 2 stars 238 scripts 697 downloads 80 exports 40 dependencies

Last updated 9 months agofrom:5b542b7c50. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 26 2024
R-4.5-win-x86_64NOTEOct 26 2024
R-4.5-linux-x86_64NOTEOct 26 2024
R-4.4-win-x86_64OKOct 26 2024
R-4.4-mac-x86_64OKOct 26 2024
R-4.4-mac-aarch64OKOct 26 2024
R-4.3-win-x86_64OKOct 26 2024
R-4.3-mac-x86_64OKOct 26 2024
R-4.3-mac-aarch64OKOct 26 2024

Exports:ABRAalloc_ellipalloc_npARABlack_ScholesBlack_Scholes_Greeksblock_rearrangecatchconditioningcrude_VaR_boundsdeBrowningdGEVdGPDdGPDtaildPardual_boundedf_ploteqf_plotES_GPDES_GPDtailES_npES_ParES_tES_t01fit_ARMA_GARCHfit_GARCH_11fit_GEV_MLEfit_GEV_PWMfit_GEV_quantilefit_GPD_MLEfit_GPD_MOMfit_GPD_PWMget_dataGEV_shape_plotgEXGPD_shape_plotgVaRhierarchical_matrixHill_estimatorHill_plotlogLik_GEVlogLik_GPDmaha2_testmardia_testmatrix_density_plotmatrix_plotmean_excess_GPDmean_excess_npmean_excess_plotNA_plotpGEVpGPDpGPDtailpp_plotpParqGEVqGPDqGPDtailqParqq_plotRArBrownianrearrangereturnsreturns_qrmtoolsrGEVrGPDrGPDtailrParRVaR_npstep_plottail_index_GARCH_11tail_plotVaR_bounds_homVaR_GPDVaR_GPDtailVaR_npVaR_ParVaR_tVaR_t01

Dependencies:ADGofTestaskpasschroncurlDistributionUtilsFNNfracdiffGeneralizedHyperbolichttrjsonlitekernlabKernSmoothkslatticeMASSMatrixmclustmgcvmimemulticoolmvtnormnlmenloptrnumDerivopensslpracmaQuandlquantmodR6RcppRcppArmadilloRsolnprugarchSkewHyperbolicspdsystruncnormTTRxtszoo

Fitting and Predicting VaR based on an ARMA-GARCH Process

Marius Hofert

Rendered fromARMA_GARCH_VaR.Rmdusingknitr::rmarkdownon Oct 26 2024.

Last update: 2022-05-31
Started: 2015-11-10

Geometric Risk Measures

Marius Hofert, Klaus Herrmann and Mélina Mailhot

Rendered fromgeometric_risk_measures.Rmdusingknitr::rmarkdownon Oct 26 2024.

Last update: 2020-01-13
Started: 2017-06-16

Worst Value-at-Risk under Known Margins

Marius Hofert

Rendered fromVaR_bounds.Rmdusingknitr::rmarkdownon Oct 26 2024.

Last update: 2020-01-13
Started: 2015-11-10

Readme and manuals

Help Manual

Help pageTopics
Computing allocationsalloc_ellip alloc_np conditioning
Black-Scholes formula and the GreeksBlack_Scholes Black_Scholes_Greeks
Brownian and Related MotionsdeBrowning rBrownian
Catching Results, Warnings and Errors Simultaneouslycatch
Fitting ARMA-GARCH Processesfit_ARMA_GARCH
Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processesfit_GARCH_11 tail_index_GARCH_11
Parameter Estimators of the Generalized Extreme Value Distributionfit_GEV_MLE fit_GEV_PWM fit_GEV_quantile logLik_GEV
Parameter Estimators of the Generalized Pareto Distributionfit_GPD_MLE fit_GPD_MOM fit_GPD_PWM logLik_GPD
Tools for Getting and Working with Dataget_data
Generalized Extreme Value DistributiondGEV pGEV qGEV rGEV
Fitted GEV Shape as a Function of the ThresholdGEV_shape_plot
(Generalized) Pareto DistributiondGPD dPar pGPD pPar qGPD qPar rGPD rPar
Fitted GPD Shape as a Function of the ThresholdGPD_shape_plot
GPD-Based Tail Distribution (POT method)dGPDtail pGPDtail qGPDtail rGPDtail
Construction of Hierarchical Matriceshierarchical_matrix
Hill Estimator and PlotHill_estimator Hill_plot
Density Plot of the Values from a Lower Triangular Matrixmatrix_density_plot
Graphical Tool for Visualizing Matricesmatrix_plot
Mean Excessmean_excess_GPD mean_excess_np mean_excess_plot
Graphical Tool for Visualizing NAs in a Data SetNA_plot
P-P and Q-Q Plotspp_plot qq_plot
Computing Returns and Inverse Transformationreturns returns_qrmtools
Risk MeasuresES_GPD ES_GPDtail ES_np ES_Par ES_t ES_t01 gEX gVaR RVaR_np VaR_GPD VaR_GPDtail VaR_np VaR_Par VaR_t VaR_t01
Plot of Step Functions, Empirical Distribution and Quantile Functionsedf_plot eqf_plot step_plot
Plot of an Empirical Surival Function with Smith Estimatortail_plot
Formal Tests of Multivariate Normalitymaha2_test mardia_test
``Analytical'' Best and Worst Value-at-Risk for Given Marginalscrude_VaR_bounds dual_bound VaR_bounds_hom
Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via RearrangementsABRA ARA block_rearrange RA rearrange