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.

Version: 0.4-31
Depends: R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries
Imports: Rcpp (≥ 0.11.1), mgcv, methods, timeDate
LinkingTo: Rcpp
Published: 2020-02-15
Author: Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)
Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
In views: Distributions, ExtremeValue
CRAN checks: QRM results

Downloads:

Reference manual: QRM.pdf
Package source: QRM_0.4-31.tar.gz
Windows binaries: r-prerelease: QRM_0.4-31.zip, r-release: QRM_0.4-31.zip, r-oldrel: QRM_0.4-31.zip
macOS binaries: r-prerelease: QRM_0.4-31.tgz, r-release: QRM_0.4-31.tgz, r-oldrel: QRM_0.4-31.tgz
Old sources: QRM archive

Reverse dependencies:

Reverse suggests: fitteR, nvmix

Linking:

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