Provides R-Language Code to Examine Quantitative Risk Management
Concepts
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)
Documentation for package ‘QRM’ version 0.4-31
- DESCRIPTION file.
- Code demos. Use demo() to run them.
Help Pages
A B C D E F G H J K L M N P Q R S U V X
| QRM-package | Quantitative Risk Modelling |
-- A --
| aggregateMonthlySeries | Defunct Functions in Package QRM |
| aggregateQuarterlySeries | Defunct Functions in Package QRM |
| aggregateSignalSeries | Defunct Functions in Package QRM |
| aggregateWeeklySeries | Defunct Functions in Package QRM |
-- B --
| besselM3 | Defunct Functions in Package QRM |
| BiDensPlot | Bivariate Density Plot |
-- C --
| cac40 | CAC 40 Stock Market Index (France) |
| cac40.df | CAC 40 Stock Market Index (France) |
| cal.beta | Credit Risk Modelling |
| cal.claytonmix | Credit Risk Modelling |
| cal.probitnorm | Credit Risk Modelling |
| ConvertDFToTimeSeries | Defunct Functions in Package QRM |
| CopulaStudent | Student's t Copula |
| CovToCor | Defunct Functions in Package QRM |
| Credit | Credit Risk Modelling |
-- D --
| danish | Danish Fire Losses |
| danish.df | Danish Fire Losses |
| dclaytonmix | Credit Risk Modelling |
| dcopula.AC | Archimedean Copulae |
| dcopula.clayton | Archimedean Copulae |
| dcopula.gauss | Gauss Copula |
| dcopula.gumbel | Archimedean Copulae |
| dcopula.t | Student's t Copula |
| dGEV | Generalized Extreme Value Distribution |
| dghyp | Uni- and Multivariate Generalized Hyperbolic Distribution |
| dghypB | Uni- and Multivariate Generalized Hyperbolic Distribution |
| dGPD | Generalized Pareto Distribution |
| dGumbel | Gumbel Distribution |
| DJ | Dow Jones 30 Stock Prices |
| DJ.df | Dow Jones 30 Stock Prices |
| dji | Dow Jones Index |
| dji.df | Dow Jones Index |
| dmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution |
| dmnorm | Multivariate Gauss Distribution |
| dmt | Student's t Distribution |
| dprobitnorm | Credit Risk Modelling |
| dsmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution |
-- E --
| edf | Empirical Distribution Function |
| EGIG | Generalized Inverse Gaussian Distribution |
| eigenmeth | Make Matrix Positive Definite |
| ElogGIG | Generalized Inverse Gaussian Distribution |
| EMupdate | Normal Inverse Gaussian and Hyperbolic Distribution |
| equicorr | Equal Correlation Matrix |
| ES | Expected Shortfall |
| ESnorm | Expected Shortfall |
| ESst | Expected Shortfall |
| extremalPP | Defunct Functions in Package QRM |
-- F --
| findthreshold | Peaks-over-Threshold Method |
| fit.AC | Archimedean Copulae |
| fit.Archcopula2d | Defunct Functions in Package QRM |
| fit.binomial | Credit Risk Modelling |
| fit.binomialBeta | Credit Risk Modelling |
| fit.binomialLogitnorm | Credit Risk Modelling |
| fit.binomialProbitnorm | Credit Risk Modelling |
| fit.gausscopula | Gauss Copula |
| fit.GEV | Generalized Extreme Value Distribution |
| fit.GPD | Peaks-over-Threshold Method |
| fit.GPDb | Defunct Functions in Package QRM |
| fit.mNH | Normal Inverse Gaussian and Hyperbolic Distribution |
| fit.mst | Student's t Distribution |
| fit.NH | Normal Inverse Gaussian and Hyperbolic Distribution |
| fit.norm | Multivariate Gauss Distribution |
| fit.POT | Defunct Functions in Package QRM |
| fit.seMPP | Defunct Functions in Package QRM |
| fit.sePP | Defunct Functions in Package QRM |
| fit.st | Student's t Distribution |
| fit.tcopula | Student's t Copula |
| fit.tcopula.rank | Defunct Functions in Package QRM |
| ftse100 | FTSE 100 Stock Market Index |
| ftse100.df | FTSE 100 Stock Market Index |
| FXGBP | Sterling Exchange Rates |
| FXGBP.df | Sterling Exchange Rates |
-- G --
| gam.predict | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() |
| gamGPDboot | Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation |
| gamGPDfit | Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation |
| Gauss | Multivariate Gauss Distribution |
| get.gam.fit | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() |
| get.GPD.fit | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() |
| GEV | Generalized Extreme Value Distribution |
| GIG | Generalized Inverse Gaussian Distribution |
| GPD | Generalized Pareto Distribution |
| GPD.predict | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() |
-- H --
| hessb | Defunct Functions in Package QRM |
| hill | Peaks-over-Threshold Method |
| hillPlot | Peaks-over-Threshold Method |
| hsi | Hang Seng Stock Market Index |
| hsi.df | Hang Seng Stock Market Index |
-- J --
| jointnormalTest | Multivariate Gauss Distribution |
-- K --
| Kendall | Kendall's Rank Correlation |
| kurtosisSPlus | Defunct Functions in Package QRM |
-- L --
| lbeta | Defunct Functions in Package QRM |
-- M --
| MardiaTest | Multivariate Gauss Distribution |
| MCECM.Qfunc | Normal Inverse Gaussian and Hyperbolic Distribution |
| MCECMupdate | Normal Inverse Gaussian and Hyperbolic Distribution |
| MEplot | Peaks-over-Threshold Method |
| mk.returns | Defunct Functions in Package QRM |
| momest | Credit Risk Modelling |
-- N --
| nasdaq | NASDAQ Stock Market Index |
| nasdaq.df | NASDAQ Stock Market Index |
| NH | Normal Inverse Gaussian and Hyperbolic Distribution |
| nikkei | Nikkei Stock Market Index |
| nikkei.df | Nikkei Stock Market Index |
-- P --
| pclaytonmix | Credit Risk Modelling |
| Pconstruct | Assemble a Correlation Matrix for ML Copula Fitting |
| Pdeconstruct | Disassemble a Correlation Matrix for ML Copula Fitting |
| pGEV | Generalized Extreme Value Distribution |
| pGPD | Generalized Pareto Distribution |
| pGumbel | Gumbel Distribution |
| plot.MPP | Defunct Functions in Package QRM |
| plot.PP | Defunct Functions in Package QRM |
| plot.sePP | Defunct Functions in Package QRM |
| plotFittedGPDvsEmpiricalExcesses | Peaks-over-Threshold Method |
| plotMultiTS | Defunct Functions in Package QRM |
| plotTail | Peaks-over-Threshold Method |
| POT | Peaks-over-Threshold Method |
| pprobitnorm | Credit Risk Modelling |
| psifunc | Defunct Functions in Package QRM |
-- Q --
| qGEV | Generalized Extreme Value Distribution |
| qGPD | Generalized Pareto Distribution |
| qGumbel | Gumbel Distribution |
| QQplot | Generic Quantile-Quantile Plot |
| QRM-defunct | Defunct Functions in Package QRM |
| qst | Student's t Distribution |
-- R --
| rAC | Archimedean Copulae |
| rACp | Archimedean Copulae |
| rBB9Mix | Archimedean Copulae |
| rbinomial.mixture | Credit Risk Modelling |
| rclaytonmix | Credit Risk Modelling |
| rcopula.clayton | Archimedean Copulae |
| rcopula.frank | Archimedean Copulae |
| rcopula.gauss | Gauss Copula |
| rcopula.gumbel | Archimedean Copulae |
| rcopula.Gumbel2Gp | Archimedean Copulae |
| rcopula.GumbelNested | Archimedean Copulae |
| rcopula.t | Student's t Copula |
| rfrank | Archimedean Copulae |
| rFrankMix | Archimedean Copulae |
| rGEV | Generalized Extreme Value Distribution |
| rghyp | Uni- and Multivariate Generalized Hyperbolic Distribution |
| rghypB | Uni- and Multivariate Generalized Hyperbolic Distribution |
| rGIG | Generalized Inverse Gaussian Distribution |
| rgig | Generalized Inverse Gaussian Distribution |
| rGPD | Generalized Pareto Distribution |
| rGumbel | Gumbel Distribution |
| risk.measure | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot() |
| RiskMeasures | Peaks-over-Threshold Method |
| rlogitnorm | Credit Risk Modelling |
| rmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution |
| rmnorm | Multivariate Gauss Distribution |
| rmt | Student's t Distribution |
| rprobitnorm | Credit Risk Modelling |
| rstable | Archimedean Copulae |
| rtcopulamix | Credit Risk Modelling |
-- S --
| seMPP.negloglik | Defunct Functions in Package QRM |
| sePP.negloglik | Defunct Functions in Package QRM |
| showRM | Peaks-over-Threshold Method |
| signalSeries | Defunct Functions in Package QRM |
| 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 |
| Spearman | Spearman's Rank Correlation |
| stationary.sePP | Defunct Functions in Package QRM |
| Student | Student's t Distribution |
| symmetrize | Defunct Functions in Package QRM |
-- U --
| unmark | Defunct Functions in Package QRM |
-- V --
| VaRbound | Computing lower and upper bounds for the (smallest or largest) VaR |
| volfunction | Defunct Functions in Package QRM |
-- X --
| xdax | Xetra DAX German Index |
| xdax.df | Xetra DAX German Index |
| xiplot | Peaks-over-Threshold Method |