CRAN/E | qrmtools

qrmtools

Tools for Quantitative Risk Management

Installation

About

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.

Key Metrics

Version 0.0-17
R ≥ 3.2.0
Published 2024-03-04 59 days ago
Needs compilation? yes
License GPL (≥ 3)
License LICENCE
CRAN checks qrmtools results

Downloads

Yesterday 14 0%
Last 7 days 182 -37%
Last 30 days 841 -31%
Last 90 days 2.759 +8%
Last 365 days 9.875 -18%

Maintainer

Maintainer

Marius Hofert

mhofert@hku.hk

Authors

Marius Hofert

aut / cre

Kurt Hornik

aut

Alexander J. McNeil

aut

Material

NEWS
Reference manual
Package source

In Views

Distributions
Finance

Vignettes

Fitting and Predicting VaR based on an ARMA-GARCH Process
Geometric Risk Measures
Worst Value-at-Risk under Known Margins

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

qrmtools archive

Depends

R ≥ 3.2.0

Imports

graphics
lattice
quantmod
Quandl
zoo
xts
methods
grDevices
stats
rugarch
utils
ADGofTest

Suggests

combinat
copula
qrng
sfsmisc
RColorBrewer
sn
knitr
rmarkdown

Reverse Suggests

qrmdata
zenplots