QRM

Provides R-Language Code to Examine Quantitative Risk Management Concepts

Installation

About

Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

Key Metrics

Version	0.4-31
R	≥ 2.10.0
Published	2020-02-15 1524 days ago
Needs compilation?	yes
License	GPL-2
License	GPL-3
CRAN checks	QRM results

Downloads

Yesterday	47 0%
Last 7 days	172 -28%
Last 30 days	833 -29%
Last 90 days	3.095 -17%
Last 365 days	11.805 +5%

Maintainer

Bernhard Pfaff

bernhard@pfaffikus.de

Authors

Bernhard Pfaff	aut / cre
Marius Hofert	ctb
Alexander McNeil	aut (S-Plus original (QRMlib))
Scott Ulmann	trl (First R port as package QRMlib)

Material

Reference manual
Package source

In Views

Distributions
ExtremeValue

macOS

r-release	arm64
r-oldrel	arm64
r-release	x86_64
r-oldrel	x86_64

Windows

r-devel	x86_64
r-release	x86_64
r-oldrel	x86_64

Old Sources

QRM archive

Depends

R	≥ 2.10.0
gsl
Matrix
mvtnorm
numDeriv
timeSeries

Imports

Rcpp	≥ 0.11.1
mgcv
methods
timeDate

LinkingTo

Rcpp

Reverse Imports

AZIAD

Reverse Suggests

fitteR