Tools for Quantitative Risk Management
Computing allocations
Black--Scholes formula and the Greeks
Brownian and Related Motions
Catching Results, Warnings and Errors Simultaneously
Fitting ARMA-GARCH Processes
Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes
Parameter Estimators of the Generalized Extreme Value Distribution
Parameter Estimators of the Generalized Pareto Distribution
Tools for Getting and Working with Data
Generalized Extreme Value Distribution
Fitted GEV Shape as a Function of the Threshold
(Generalized) Pareto Distribution
Fitted GPD Shape as a Function of the Threshold
GPD-Based Tail Distribution (POT method)
Construction of Hierarchical Matrices
Hill Estimator and Plot
Density Plot of the Values from a Lower Triangular Matrix
Graphical Tool for Visualizing Matrices
Mean Excess
Graphical Tool for Visualizing NAs in a Data Set
P-P and Q-Q Plots
Computing Returns and Inverse Transformation
Risk Measures
Plot of Step Functions, Empirical Distribution and Quantile Functions
Plot of an Empirical Surival Function with Smith Estimator
Formal Tests of Multivariate Normality
``Analytical'' Best and Worst Value-at-Risk for Given Marginals
Worst and Best Value-at-Risk and Best Expected Shortfall for Given Mar...
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.