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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0.0-13 by Marius Hofert, 3 months ago

Browse source code at

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

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance

GPL (>= 3) | file LICENCE license

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

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

Suggested by gnn, qrmdata.

See at CRAN