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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

Documentation:

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

Downloads:

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

Linking:

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

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.