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.


Reference manual

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0.4-31 by Bernhard Pfaff, a year 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

Suggested by fitteR.

See at CRAN