Tools for Quantitative Risk Management

Functions and data sets for reproducing selected results from the book "Quantitative Risk Management: Concepts, Techniques and Tools". Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.


Reference manual

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0.0-10 by Marius Hofert, a year ago

Browse source code at

Authors: Marius Hofert [aut, cre] , Kurt Hornik [aut] , Alexander J. McNeil [aut]

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL (>= 3) | file LICENCE license

Imports graphics, lattice, quantmod, Quandl, zoo, xts, methods, grDevices, stats, rugarch, utils

Suggests combinat, copula, knitr, mvtnorm, QRM, sfsmisc, RColorBrewer, sn

Suggested by gnn, qrmdata, zenplots.

See at CRAN