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QRM: 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.

Version: 0.4-31
Depends: R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries
Imports: Rcpp (≥ 0.11.1), mgcv, methods, timeDate
LinkingTo: Rcpp
Published: 2020-02-15
DOI: 10.32614/CRAN.package.QRM
Author: Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)
Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
In views: Distributions, ExtremeValue
CRAN checks: QRM results

Documentation:

Reference manual: QRM.pdf

Downloads:

Package source: QRM_0.4-31.tar.gz
Windows binaries: r-devel: QRM_0.4-31.zip, r-release: QRM_0.4-31.zip, r-oldrel: QRM_0.4-31.zip
macOS binaries: r-release (arm64): QRM_0.4-31.tgz, r-oldrel (arm64): QRM_0.4-31.tgz, r-release (x86_64): QRM_0.4-31.tgz, r-oldrel (x86_64): QRM_0.4-31.tgz
Old sources: QRM archive

Reverse dependencies:

Reverse imports: AZIAD, BFpack
Reverse suggests: fitteR

Linking:

Please use the canonical form https://CRAN.R-project.org/package=QRM to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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