Provides R-Language Code to Examine Quantitative Risk Management Concepts
Bivariate Density Plot
Archimedean Copulae
Gauss Copula
Student's t Copula
Credit Risk Modelling
Empirical Distribution Function
Make Matrix Positive Definite
Equal Correlation Matrix
Expected Shortfall
Auxiliary Functions for Extracting/Computing Results Related to gamGPD...
Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Di...
Multivariate Gauss Distribution
Generalized Extreme Value Distribution
Uni- and Multivariate Generalized Hyperbolic Distribution
Generalized Inverse Gaussian Distribution
Generalized Pareto Distribution
Gumbel Distribution
Kendall's Rank Correlation
Normal Inverse Gaussian and Hyperbolic Distribution
Assemble a Correlation Matrix for ML Copula Fitting
Disassemble a Correlation Matrix for ML Copula Fitting
Peaks-over-Threshold Method
Generic Quantile-Quantile Plot
Defunct Functions in Package QRM
Quantitative Risk Modelling
Spearman's Rank Correlation
Student's t Distribution
Computing lower and upper bounds for the (smallest or largest) VaR
Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.