Package: QRM 0.4-31

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:Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut], Scott Ulmann [trl]

QRM_0.4-31.tar.gz
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QRM.pdf |QRM.html✨
QRM/json (API)

# Install 'QRM' in R:
install.packages('QRM', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • DJ - Dow Jones 30 Stock Prices
  • DJ.df - Dow Jones 30 Stock Prices
  • FXGBP - Sterling Exchange Rates
  • FXGBP.df - Sterling Exchange Rates
  • cac40 - CAC 40 Stock Market Index
  • cac40.df - CAC 40 Stock Market Index
  • danish - Danish Fire Losses
  • danish.df - Danish Fire Losses
  • dji - Dow Jones Index
  • dji.df - Dow Jones Index
  • ftse100 - FTSE 100 Stock Market Index
  • ftse100.df - FTSE 100 Stock Market Index
  • 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

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

132 exports 3.11 score 10 dependencies 5 dependents 14 mentions 185 scripts 588 downloads

Last updated 5 years agofrom:c6355a61aa. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 07 2024
R-4.5-win-x86_64NOTESep 07 2024
R-4.5-linux-x86_64NOTESep 07 2024
R-4.4-win-x86_64OKSep 07 2024
R-4.4-mac-x86_64OKSep 07 2024
R-4.4-mac-aarch64OKSep 07 2024
R-4.3-win-x86_64OKSep 07 2024
R-4.3-mac-x86_64OKSep 07 2024
R-4.3-mac-aarch64OKSep 07 2024

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.rankgamGPDbootgamGPDfitget.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 pageTopics
Quantitative Risk ModellingQRM-package
Bivariate Density PlotBiDensPlot
CAC 40 Stock Market Index (France)cac40 cac40.df
Archimedean Copulaedcopula.AC dcopula.clayton dcopula.gumbel fit.AC rAC rACp rBB9Mix rcopula.clayton rcopula.frank rcopula.gumbel rcopula.Gumbel2Gp rcopula.GumbelNested rfrank rFrankMix rstable
Gauss Copuladcopula.gauss fit.gausscopula rcopula.gauss
Student's t CopulaCopulaStudent dcopula.t fit.tcopula rcopula.t
Credit Risk Modellingcal.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 Lossesdanish danish.df
Dow Jones 30 Stock PricesDJ DJ.df
Dow Jones Indexdji dji.df
Empirical Distribution Functionedf
Make Matrix Positive Definiteeigenmeth
Equal Correlation Matrixequicorr
Expected ShortfallES ESnorm ESst
FTSE 100 Stock Market Indexftse100 ftse100.df
Sterling Exchange RatesFXGBP FXGBP.df
Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood EstimationgamGPDboot 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 Distributiondmnorm fit.norm Gauss jointnormalTest MardiaTest rmnorm
Generalized Extreme Value DistributiondGEV fit.GEV GEV pGEV qGEV rGEV
Uni- and Multivariate Generalized Hyperbolic Distributiondghyp dghypB dmghyp dsmghyp rghyp rghypB rmghyp
Generalized Inverse Gaussian DistributionEGIG ElogGIG GIG rGIG rgig
Generalized Pareto DistributiondGPD GPD pGPD qGPD rGPD
Gumbel DistributiondGumbel pGumbel qGumbel rGumbel
Hang Seng Stock Market Indexhsi hsi.df
Kendall's Rank CorrelationKendall
NASDAQ Stock Market Indexnasdaq nasdaq.df
Normal Inverse Gaussian and Hyperbolic DistributionEMupdate fit.mNH fit.NH MCECM.Qfunc MCECMupdate NH
Nikkei Stock Market Indexnikkei nikkei.df
Assemble a Correlation Matrix for ML Copula FittingPconstruct
Disassemble a Correlation Matrix for ML Copula FittingPdeconstruct
Peaks-over-Threshold Methodfindthreshold fit.GPD hill hillPlot MEplot plotFittedGPDvsEmpiricalExcesses plotTail POT RiskMeasures showRM xiplot
Generic Quantile-Quantile PlotQQplot
Defunct Functions in Package QRMaggregateMonthlySeries 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 Indexsmi smi.df
Standard and Poors 500 Indexsp500 sp500.df
Standard and Poors Default Dataspdata spdata.df
Standard and Poors Default Dataspdata.raw spdata.raw.df
Spearman's Rank CorrelationSpearman
Student's t Distributiondmt fit.mst fit.st qst rmt Student
Computing lower and upper bounds for the (smallest or largest) VaRVaRbound
Xetra DAX German Indexxdax xdax.df