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: 0.0-3
Depends: R (≥ 3.0.0)
Imports: xts, methods, grDevices, stats
Suggests: combinat, copula, knitr, mvtnorm, QRM, rugarch, sfsmisc
Published: 2015-11-10
Author: Marius Hofert [aut, cre], Kurt Hornik [aut]
Maintainer: Marius Hofert <marius.hofert at uwaterloo.ca>
License: GPL-2 | GPL-3
NeedsCompilation: yes
CRAN checks: qrmtools results


Reference manual: qrmtools.pdf
Vignettes: Fitting and Predicting VaR based on an ARMA-GARCH Process
Worst Value-at-Risk under Known Margins
Estimating the Risk Measures VaR and ES with Various Estimators
Package source: qrmtools_0.0-3.tar.gz
Windows binaries: r-devel: qrmtools_0.0-3.zip, r-release: qrmtools_0.0-3.zip, r-oldrel: qrmtools_0.0-3.zip
OS X Snow Leopard binaries: r-release: qrmtools_0.0-3.tgz, r-oldrel: qrmtools_0.0-1.tgz
OS X Mavericks binaries: r-release: qrmtools_0.0-3.tgz
Old sources: qrmtools archive