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.

Version: 0.0-7
Depends: R (≥ 3.2.0)
Imports: graphics, lattice, quantmod, Quandl, zoo, xts, methods, grDevices, stats, rugarch, utils
Suggests: combinat, copula, knitr, mvtnorm, QRM, sfsmisc, RColorBrewer, sn
Published: 2017-06-16
Author: Marius Hofert [aut, cre], Kurt Hornik [aut], Alexander J. McNeil [aut]
Maintainer: Marius Hofert <marius.hofert at uwaterloo.ca>
License: GPL-2 | GPL-3
NeedsCompilation: yes
CRAN checks: qrmtools results

Downloads:

Reference manual: qrmtools.pdf
Vignettes: Fitting and Predicting VaR based on an ARMA-GARCH Process
Geometric Risk Measures
Worst Value-at-Risk under Known Margins
Package source: qrmtools_0.0-7.tar.gz
Windows binaries: r-devel: qrmtools_0.0-7.zip, r-release: qrmtools_0.0-7.zip, r-oldrel: qrmtools_0.0-7.zip
OS X El Capitan binaries: r-release: qrmtools_0.0-7.tgz
OS X Mavericks binaries: r-oldrel: qrmtools_0.0-7.tgz
Old sources: qrmtools archive

Reverse dependencies:

Reverse suggests: qrmdata, zenplots

Linking:

Please use the canonical form https://CRAN.R-project.org/package=qrmtools to link to this page.