Tools for Quantitative Risk Management

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Documentation for package ‘qrmtools’ version 0.0-17

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ABRA Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
alloc_ellip Computing allocations
alloc_np Computing allocations
ARA Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
Black_Scholes Black-Scholes formula and the Greeks
Black_Scholes_Greeks Black-Scholes formula and the Greeks
block_rearrange Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
catch Catching Results, Warnings and Errors Simultaneously
conditioning Computing allocations
crude_VaR_bounds "Analytical" Best and Worst Value-at-Risk for Given Marginals
deBrowning Brownian and Related Motions
dGEV Generalized Extreme Value Distribution
dGPD (Generalized) Pareto Distribution
dGPDtail GPD-Based Tail Distribution (POT method)
dPar (Generalized) Pareto Distribution
dual_bound "Analytical" Best and Worst Value-at-Risk for Given Marginals
edf_plot Plot of Step Functions, Empirical Distribution and Quantile Functions
eqf_plot Plot of Step Functions, Empirical Distribution and Quantile Functions
ES_GPD Risk Measures
ES_GPDtail Risk Measures
ES_np Risk Measures
ES_Par Risk Measures
ES_t Risk Measures
ES_t01 Risk Measures
fit_ARMA_GARCH Fitting ARMA-GARCH Processes
fit_GARCH_11 Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes
fit_GEV_MLE Parameter Estimators of the Generalized Extreme Value Distribution
fit_GEV_PWM Parameter Estimators of the Generalized Extreme Value Distribution
fit_GEV_quantile Parameter Estimators of the Generalized Extreme Value Distribution
fit_GPD_MLE Parameter Estimators of the Generalized Pareto Distribution
fit_GPD_MOM Parameter Estimators of the Generalized Pareto Distribution
fit_GPD_PWM Parameter Estimators of the Generalized Pareto Distribution
get_data Tools for Getting and Working with Data
GEV_shape_plot Fitted GEV Shape as a Function of the Threshold
gEX Risk Measures
GPD_shape_plot Fitted GPD Shape as a Function of the Threshold
gVaR Risk Measures
hierarchical_matrix Construction of Hierarchical Matrices
Hill_estimator Hill Estimator and Plot
Hill_plot Hill Estimator and Plot
logLik_GEV Parameter Estimators of the Generalized Extreme Value Distribution
logLik_GPD Parameter Estimators of the Generalized Pareto Distribution
maha2_test Formal Tests of Multivariate Normality
mardia_test Formal Tests of Multivariate Normality
matrix_density_plot Density Plot of the Values from a Lower Triangular Matrix
matrix_plot Graphical Tool for Visualizing Matrices
mean_excess_GPD Mean Excess
mean_excess_np Mean Excess
mean_excess_plot Mean Excess
NA_plot Graphical Tool for Visualizing NAs in a Data Set
pGEV Generalized Extreme Value Distribution
pGPD (Generalized) Pareto Distribution
pGPDtail GPD-Based Tail Distribution (POT method)
pPar (Generalized) Pareto Distribution
pp_plot P-P and Q-Q Plots
qGEV Generalized Extreme Value Distribution
qGPD (Generalized) Pareto Distribution
qGPDtail GPD-Based Tail Distribution (POT method)
qPar (Generalized) Pareto Distribution
qq_plot P-P and Q-Q Plots
RA Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
rBrownian Brownian and Related Motions
rearrange Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
returns Computing Returns and Inverse Transformation
returns_qrmtools Computing Returns and Inverse Transformation
rGEV Generalized Extreme Value Distribution
rGPD (Generalized) Pareto Distribution
rGPDtail GPD-Based Tail Distribution (POT method)
rPar (Generalized) Pareto Distribution
RVaR_np Risk Measures
step_plot Plot of Step Functions, Empirical Distribution and Quantile Functions
tail_index_GARCH_11 Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes
tail_plot Plot of an Empirical Surival Function with Smith Estimator
VaR_bounds_hom "Analytical" Best and Worst Value-at-Risk for Given Marginals
VaR_GPD Risk Measures
VaR_GPDtail Risk Measures
VaR_np Risk Measures
VaR_Par Risk Measures
VaR_t Risk Measures
VaR_t01 Risk Measures