Provides R-Language Code to Examine Quantitative Risk Management Concepts

Accompanying package to the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, RĂ¼diger Frey, and Paul Embrechts.


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Reference manual

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install.packages("QRM")

0.4-13 by Bernhard Pfaff, 3 years 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


Imported by DAMisc, LPM.

Depended on by BayesMed.

Suggested by fitteR, qrmtools.


See at CRAN