Package: QRM 0.4-35
QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts
Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.
Authors:
QRM_0.4-35.tar.gz
QRM_0.4-35.zip(r-4.7)QRM_0.4-35.zip(r-4.6)QRM_0.4-35.zip(r-4.5)
QRM_0.4-35.tgz(r-4.6-x86_64)QRM_0.4-35.tgz(r-4.6-arm64)QRM_0.4-35.tgz(r-4.5-x86_64)QRM_0.4-35.tgz(r-4.5-arm64)
QRM_0.4-35.tar.gz(r-4.7-arm64)QRM_0.4-35.tar.gz(r-4.7-x86_64)QRM_0.4-35.tar.gz(r-4.6-arm64)QRM_0.4-35.tar.gz(r-4.6-x86_64)
QRM_0.4-35.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
QRM/json (API)
| # Install 'QRM' in R: |
| install.packages('QRM', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org')) |
- cac40 - CAC 40 Stock Market Index
- cac40.df - CAC 40 Stock Market Index
- danish - Danish Fire Losses
- danish.df - Danish Fire Losses
- DJ - Dow Jones 30 Stock Prices
- DJ.df - Dow Jones 30 Stock Prices
- dji - Dow Jones Index
- dji.df - Dow Jones Index
- ftse100 - FTSE 100 Stock Market Index
- ftse100.df - FTSE 100 Stock Market Index
- FXGBP - Sterling Exchange Rates
- FXGBP.df - Sterling Exchange Rates
- hsi - Hang Seng Stock Market Index
- hsi.df - Hang Seng Stock Market Index
- nasdaq - NASDAQ Stock Market Index
- nasdaq.df - NASDAQ Stock Market Index
- nikkei - Nikkei Stock Market Index
- nikkei.df - Nikkei Stock Market Index
- smi - Swiss Market Index
- smi.df - Swiss Market Index
- sp500 - Standard and Poors 500 Index
- sp500.df - Standard and Poors 500 Index
- spdata - Standard and Poors Default Data
- spdata.df - Standard and Poors Default Data
- spdata.raw - Standard and Poors Default Data
- spdata.raw.df - Standard and Poors Default Data
- xdax - Xetra DAX German Index
- xdax.df - Xetra DAX German Index
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:0d402a9da5. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 156 | ||
| linux-devel-x86_64 | OK | 145 | ||
| source / vignettes | OK | 171 | ||
| linux-release-arm64 | OK | 168 | ||
| linux-release-x86_64 | OK | 145 | ||
| macos-release-arm64 | OK | 166 | ||
| macos-release-x86_64 | OK | 235 | ||
| macos-oldrel-arm64 | OK | 153 | ||
| macos-oldrel-x86_64 | OK | 192 | ||
| windows-devel | OK | 171 | ||
| windows-release | OK | 155 | ||
| windows-oldrel | OK | 274 | ||
| wasm-release | OK | 101 |
Exports:aggregateMonthlySeriesaggregateQuarterlySeriesaggregateSignalSeriesaggregateWeeklySeriesbesselM3BiDensPlotcal.betacal.claytonmixcal.probitnormConvertDFToTimeSeriesCovToCordclaytonmixdcopula.ACdcopula.claytondcopula.gaussdcopula.gumbeldcopula.tdGEVdghypdghypBdGPDdGumbeldmghypdmnormdmtdprobitnormdsmghypedfEGIGeigenmethElogGIGEMupdateequicorrESnormESstextremalPPfindthresholdfit.ACfit.Archcopula2dfit.binomialfit.binomialBetafit.binomialLogitnormfit.binomialProbitnormfit.gausscopulafit.GEVfit.GPDfit.GPDbfit.mNHfit.mstfit.NHfit.normfit.POTfit.seMPPfit.sePPfit.stfit.tcopulafit.tcopula.rankgam.predictgamGPDbootgamGPDfitget.gam.fitget.GPD.fitGPD.predicthessbhillhillPlotjointnormalTestKendallkurtosisSPluslbetaMardiaTestMCECM.QfuncMCECMupdateMEplotmk.returnsmomestpclaytonmixPconstructPdeconstructpGEVpGPDpGumbelplot.MPPplot.PPplot.sePPplotFittedGPDvsEmpiricalExcessesplotMultiTSplotTailpprobitnormpsifuncqGEVqGPDqGumbelQQplotqstrACrACprBB9Mixrbinomial.mixturerclaytonmixrcopula.claytonrcopula.frankrcopula.gaussrcopula.gumbelrcopula.Gumbel2Gprcopula.GumbelNestedrcopula.trFrankMixrGEVrghyprghypBrGIGrGPDrGumbelrisk.measureRiskMeasuresrlogitnormrmghyprmnormrmtrprobitnormrstablertcopulamixseMPP.neglogliksePP.negloglikshowRMsignalSeriesSpearmanstationary.sePPsymmetrizeunmarkVaRboundvolfunctionxiplot
Dependencies:gsllatticeMatrixmgcvmvtnormnlmenumDerivRcpptimeDatetimeSeries
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Quantitative Risk Modelling | QRM-package |
| Bivariate Density Plot | BiDensPlot |
| CAC 40 Stock Market Index (France) | cac40 cac40.df |
| Archimedean Copulae | dcopula.AC dcopula.clayton dcopula.gumbel fit.AC rAC rACp rBB9Mix rcopula.clayton rcopula.frank rcopula.gumbel rcopula.Gumbel2Gp rcopula.GumbelNested rfrank rFrankMix rstable |
| Gauss Copula | dcopula.gauss fit.gausscopula rcopula.gauss |
| Student's t Copula | CopulaStudent dcopula.t fit.tcopula rcopula.t |
| Credit Risk Modelling | cal.beta cal.claytonmix cal.probitnorm Credit dclaytonmix dprobitnorm fit.binomial fit.binomialBeta fit.binomialLogitnorm fit.binomialProbitnorm momest pclaytonmix pprobitnorm rbinomial.mixture rclaytonmix rlogitnorm rprobitnorm rtcopulamix |
| Danish Fire Losses | danish danish.df |
| Dow Jones 30 Stock Prices | DJ DJ.df |
| Dow Jones Index | dji dji.df |
| Empirical Distribution Function | edf |
| Make Matrix Positive Definite | eigenmeth |
| Equal Correlation Matrix | equicorr |
| Expected Shortfall | ES ESnorm ESst |
| FTSE 100 Stock Market Index | ftse100 ftse100.df |
| Sterling Exchange Rates | FXGBP FXGBP.df |
| Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation | gamGPDboot gamGPDfit |
| Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() | gam.predict get.gam.fit get.GPD.fit GPD.predict risk.measure |
| Multivariate Gauss Distribution | dmnorm fit.norm Gauss jointnormalTest MardiaTest rmnorm |
| Generalized Extreme Value Distribution | dGEV fit.GEV GEV pGEV qGEV rGEV |
| Uni- and Multivariate Generalized Hyperbolic Distribution | dghyp dghypB dmghyp dsmghyp rghyp rghypB rmghyp |
| Generalized Inverse Gaussian Distribution | EGIG ElogGIG GIG rGIG rgig |
| Generalized Pareto Distribution | dGPD GPD pGPD qGPD rGPD |
| Gumbel Distribution | dGumbel pGumbel qGumbel rGumbel |
| Hang Seng Stock Market Index | hsi hsi.df |
| Kendall's Rank Correlation | Kendall |
| NASDAQ Stock Market Index | nasdaq nasdaq.df |
| Normal Inverse Gaussian and Hyperbolic Distribution | EMupdate fit.mNH fit.NH MCECM.Qfunc MCECMupdate NH |
| Nikkei Stock Market Index | nikkei nikkei.df |
| Assemble a Correlation Matrix for ML Copula Fitting | Pconstruct |
| Disassemble a Correlation Matrix for ML Copula Fitting | Pdeconstruct |
| Peaks-over-Threshold Method | findthreshold fit.GPD hill hillPlot MEplot plotFittedGPDvsEmpiricalExcesses plotTail POT RiskMeasures showRM xiplot |
| Generic Quantile-Quantile Plot | QQplot |
| Defunct Functions in Package QRM | aggregateMonthlySeries aggregateQuarterlySeries aggregateSignalSeries aggregateWeeklySeries besselM3 ConvertDFToTimeSeries CovToCor extremalPP fit.Archcopula2d fit.GPDb fit.POT fit.seMPP fit.sePP fit.tcopula.rank hessb kurtosisSPlus lbeta mk.returns plot.MPP plot.PP plot.sePP plotMultiTS psifunc QRM-defunct seMPP.negloglik sePP.negloglik signalSeries stationary.sePP symmetrize unmark volfunction |
| Swiss Market Index | smi smi.df |
| Standard and Poors 500 Index | sp500 sp500.df |
| Standard and Poors Default Data | spdata spdata.df |
| Standard and Poors Default Data | spdata.raw spdata.raw.df |
| Spearman's Rank Correlation | Spearman |
| Student's t Distribution | dmt fit.mst fit.st qst rmt Student |
| Computing lower and upper bounds for the (smallest or largest) VaR | VaRbound |
| Xetra DAX German Index | xdax xdax.df |
