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.


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Reference manual

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install.packages("QRM")

0.4-31 by Bernhard Pfaff, 13 days ago


Browse source code at https://github.com/cran/QRM


Authors: Bernhard Pfaff [aut, cre] , Marius Hofert [ctb] , Alexander McNeil [aut] (S-Plus original (QRMlib)) , Scott Ulmann [trl] (First R port as package QRMlib)


Documentation:   PDF Manual  


Task views: Extreme Value Analysis, Probability Distributions


GPL (>= 2) license


Imports Rcpp, mgcv, methods, timeDate

Depends on gsl, Matrix, mvtnorm, numDeriv, timeSeries

Linking to Rcpp


Suggested by fitteR, nvmix.


See at CRAN