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.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.4-13 by Bernhard Pfaff, 3 years ago

Browse source code at

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