Provides R-language code to examine Quantitative Risk Management concepts


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Documentation for package `QRMlib' version 1.4

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A B C D E F H J K L M N P Q R S T U V X

-- --

QRMlib-package This package provides R-language code to investigate concepts in a Quantitative Risk Management book for those users without access to S-Plus.

-- A --

aggregateMonthlySeries aggregateMonthlySeries() method
aggregateQuarterlySeries aggregateQuarterlySeries() method
aggregateSignalSeries aggregateSignalSeries() method
aggregateWeeklySeries aggregateWeeklySeries() method

-- B --

besselM3 Modified Bessel Function of 3rd Kind
BetaDist The Beta Distribution
BiDensPlot Bivariate Density Plot

-- C --

cac40 CAC 40 Stock Market Index
cal.beta Calibrate Beta Mixture of Bernoullis
cal.claytonmix Calibrate Mixture of Bernoullis Equivalent to Clayton Copula Model
cal.probitnorm Calibrate Probitnormal Mixture of Bernoullis
claytonmix Mixing Distribution on Unit Interval Yielding Clayton Copula Model
CovToCor Covariance To Correlation Matrix

-- D --

danish Danish Data
dbeta The Beta Distribution
dclaytonmix Mixing Distribution on Unit Interval Yielding Clayton Copula Model
dcopula.clayton Bivariate Clayton Copula Density
dcopula.gauss Gauss Copula Density
dcopula.gumbel Bivariate Gumbel Copula Density
dcopula.t t Copula Density
dGEV Generalized Extreme Value Distribution
dghyp Univariate Generalized Hyperbolic Distribution
dghypB Univariate Generalized Hyperbolic Distribution B
dGPD Generalized Pareto Distribution
dGumbel Gumbel Distribution
DJ Dow Jones 30 Stock Prices
dji Dow Jones Index
dmghyp Multivariate Generalized Hyperbolic Distribution
dmnorm Multivariate Normal Density
dmt Multivariate Student t Density
dprobitnorm Probit-Normal Distribution
dsmghyp Symmetric Multivariate Generalized Hyperbolic Distribution

-- E --

edf Empirical Distribution Function
EGIG Estimate Moments of GIG Distribution
eigenmeth Make Matrix Positive Definite
ElogGIG Log Moment of GIG
EMupdate EM Update Step for Generalized Hyperbolic Estimation
equicorr Equicorrelation Matrix
ESnorm Expected Shortfall for Normal Distribution
ESst Expected Shortfall for Student t Distribution
extremalPP Extremal Point Process

-- F --

findthreshold Find a Threshold
fit.Archcopula2d Fit 2D Archimedean Copula
fit.binomial Fit Binomial Distribution
fit.binomialBeta Fit Beta-Binomial Distribution
fit.binomialLogitnorm Fit Logitnormal-Binomial Distribution
fit.binomialProbitnorm Fit Probitnormal-Binomial Distribution
fit.gausscopula Fit Gauss Copula
fit.GEV Fit Generalized Extreme Value Distribution
fit.GPD Fit Generalized Pareto Model
fit.GPDb Fit Generalized Pareto Model B
fit.mNH Fit Multivariate NIG or Hyperbolic Distribution
fit.mst Fit Multivariate Student t Distribution
fit.NH Fit NIG or Hyperbolic Distribution
fit.norm Fit Multivariate Normal
fit.POT Peaks-over-Threshold Model
fit.seMPP Fit Marked Self-Exciting Point Process
fit.sePP Fit Self-Exciting Process
fit.st Fit Student t Distribution
fit.tcopula Fit t Copula
fit.tcopula.rank Fit t Copula Using Rank Correlations
ftse100 FTSE 100 Stock Market Index
FXGBP.RAW Sterling Exchange Rates

-- H --

hessb Approximate Hessian Matrix
hillPlot Create Hill Plot
hsi Hang Seng Stock Market Index

-- J --

jointnormalTest Test of Multivariate Normality

-- K --

Kendall Kendall's Rank Correlation
kurtosisSPlus S-Plus Version of Kurtosis which differs from the R-versions

-- L --

lbeta Log Beta Function

-- M --

MardiaTest Mardia's Tests of Multinormality
MCECM.Qfunc Optimization Function for MCECM Fitting of GH
MCECMupdate MCECM Update Step for Generalized Hyperbolic
MEplot Sample Mean Excess Plot
mghyp Multivariate Generalized Hyperbolic Distribution
mk.its.exceedances.tS Extract Exceedances over a Threshold into Irregular Time Series for Plotting when Input is TimeSeries
mk.its.exceedances.vector Extract Exceedances over Threshold into Irregular Time Series for Plotting when Input is Vector
mk.oldts Make Old Style Time Series
mk.returns Make Financial Return Data
momest Moment Estimator of Default Probabilities

-- N --

nasdaq NASDAQ Stock Market Index
nikkei Nikkei Stock Market Index

-- P --

pbeta The Beta Distribution
pclaytonmix Mixing Distribution on Unit Interval Yielding Clayton Copula Model
Pconstruct Assemble a Correlation Matrix for ML Copula Fitting
Pdeconstruct Disassemble a Correlation Matrix for ML Copula Fitting
pGEV Generalized Extreme Value Distribution
pGPD Generalized Pareto Distribution
pGumbel Gumbel Distribution
plot.MPP Plot Marked Point Process
plot.PP Plot Point Process
plot.sePP Plot Self-Exciting Point Process
plot.timeSeriesIts Plot single or multiple timeSeries objects on same graph
plotFittedGPDvsEmpiricalExcesses Graphically Compare Empirical Distribution of Excesses and GPD Fit
plotTail Tail Plot of GPD Model
pprobitnorm Probit-Normal Distribution
probitnorm Probit-Normal Distribution
profileLoadLibrary Build .Rprofile File to Load QRM Library in QRMBook Workspace
psifunc Psi or Digamma Function

-- Q --

qbeta The Beta Distribution
qGEV Generalized Extreme Value Distribution
qGPD Generalized Pareto Distribution
qGumbel Gumbel Distribution
QQplot Generic Quantile-Quantile Plot
QRMBook-workspace How to Build a QRMBook Workspace in R to Use QRMlib
QRMlib This package provides R-language code to investigate concepts in a Quantitative Risk Management book for those users without access to S-Plus.
qst Student's t Distribution (3 parameter)

-- R --

rAC Generate Archimedean Copula
rBB9Mix Mixture Distribution Yielding BB9 Copula
rbeta The Beta Distribution
rbinomial.mixture Sample Mixed Binomial Distribution
rclaytonmix Mixing Distribution on Unit Interval Yielding Clayton Copula Model
rcopula.AGumbel Generate Asymmetric Gumbel Copula
rcopula.clayton Clayton Copula Simulation
rcopula.frank Frank Copula Simulation
rcopula.gauss Gauss Copula Simulation
rcopula.gumbel Gumbel Copula Simulation
rcopula.Gumbel2Gp Gumbel Copula with Two-Group Structure
rcopula.GumbelNested Gumbel Copula with Nested Structure
rcopula.t t Copula Simulation
rFrankMix Mixture Distribution Yielding Frank Copula
rGEV Generalized Extreme Value Distribution
rghyp Univariate Generalized Hyperbolic Distribution
rghypB Univariate Generalized Hyperbolic Distribution B
rGIG Generate Random Vector from Generalized Inverse Gaussian Distribution
rGPD Generalized Pareto Distribution
RiskMeasures Calculate Risk Measures from GPD Fit
rlogitnorm Random Number Generation from Logit-Normal Distribution
rmghyp Multivariate Generalized Hyperbolic Distribution
rmnorm Multivariate Normal Random Sample
rmt Multivariate t
rprobitnorm Probit-Normal Distribution
rstable Stable Distribution
rtcopulamix Mixing Distribution on Unit Interval Yielding t Copula Model

-- S --

seMPP.negloglik Marked Self-Exciting Point Process Log-Likelihood
sePP.negloglik Self-Exciting Point Process Log-Likelihood
showRM Show Risk Measure Estimates on Tailplot
signalSeries signalSeries object
smi Swiss Market Index
sp500 Standard and Poors 500 Index
spdata Standard and Poors Default Data
spdata.raw Standard and Poors Default Data
Spearman Spearman's Rank Correlation
stationary.sePP Stationarity of Self-Exciting Model
storeDataInWorkspace How to Store Data in a QRMBook Workspace
symmetrize Ensure Symmetric Matrix

-- T --

timeSeriesClass timeSeries Objects in R
TimeSeriesClassRMetrics timeSeries Class and Methods

-- U --

unmark Unmark Point Process

-- V --

volfunction Self-Excitement Function

-- X --

xdax Xetra DAX Index
xiplot GPD Shape Parameter Plot