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

80 exports 1 stars 0.23 score 39 dependencies 238 scripts 667 downloads

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

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:ADGofTestaskpasschroncurlDistributionUtilsFNNGeneralizedHyperbolichttrjsonlitekernlabKernSmoothkslatticeMASSMatrixmclustmgcvmimemulticoolmvtnormnlmenloptrnumDerivopensslpracmaQuandlquantmodR6RcppRcppArmadilloRsolnprugarchSkewHyperbolicspdsystruncnormTTRxtszoo