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: 0.0-17
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
Published: 2024-03-04
DOI: 10.32614/CRAN.package.qrmtools
Author: Marius Hofert [aut, cre], Kurt Hornik [aut], Alexander J. McNeil [aut]
Maintainer: Marius Hofert <mhofert at hku.hk>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
Materials: NEWS
In views: Distributions, Finance
CRAN checks: qrmtools results


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_0.0-17.tar.gz
Windows binaries: r-devel: qrmtools_0.0-17.zip, r-release: qrmtools_0.0-17.zip, r-oldrel: qrmtools_0.0-17.zip
macOS binaries: r-release (arm64): qrmtools_0.0-17.tgz, r-oldrel (arm64): qrmtools_0.0-17.tgz, r-release (x86_64): qrmtools_0.0-17.tgz, r-oldrel (x86_64): qrmtools_0.0-17.tgz
Old sources: qrmtools archive

Reverse dependencies:

Reverse suggests: qrmdata, zenplots


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