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: | 0.0-18 |
| 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: | 2025-09-10 |
| 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.html , qrmtools.pdf |
| Vignettes: |
Fitting and Predicting VaR based on an ARMA-GARCH Process (source, R code) Geometric Risk Measures (source, R code) Worst Value-at-Risk under Known Margins (source, R code) |
| Package source: | qrmtools_0.0-18.tar.gz |
| Windows binaries: | r-devel: qrmtools_0.0-18.zip, r-release: qrmtools_0.0-18.zip, r-oldrel: qrmtools_0.0-18.zip |
| macOS binaries: | r-release (arm64): qrmtools_0.0-18.tgz, r-oldrel (arm64): qrmtools_0.0-18.tgz, r-release (x86_64): qrmtools_0.0-18.tgz, r-oldrel (x86_64): qrmtools_0.0-18.tgz |
| Old sources: | qrmtools archive |
| Reverse suggests: | nvmix, qrmdata, zenplots |
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