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

QRMlib-package {QRMlib}

R Documentation

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

Description

This is a free R-language translation of the S-Plus library (QRMlib) designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts. It was built by Scott Ulman scottulman@hotmail.com. A separate S-Plus version of the library can be downloaded from Alexander McNeil's URL.

Details

Package: QRMlib

Type: Package

Version: 1.4

Date: 2007-04-08

Depends: R(>= 2.4.1),fCalendar,methods,fEcofin, mvtnorm, chron,its,Hmisc

License: GPL version 2 or newer

URL: http://www.math.etzh.ch/~mcneil/book/qrmlib.html

Packaged: April 8, 2007

Built: R 2.4.1; i386-pc-mingw32; 2007-04-08 12:00:00; windows

The package provides an entire library of methods to investigate concepts associated with QRM, including Market Risk, Credit Risk, and Operational Risk, as developed in the textbook. Additionally, it contains a set of chapter scripts which can be used to build many of the graphs and tables in the text. Under the library folder, look for folders Chap2-Chap8 which contain the scripts.

Note

The original S-Plus data files cac40, danish, DJ, dji, ftse100, FXGBP.RAW, hsi, nasdaq, nikkei, smi, sp500, xdax are all S-Plus ‘timeSeries’ object files.

Unfortunately, R-language has several different time-series classes, none of which coincides with the S-Plus version. The R-Metrics' class ‘timeSeries’ (contained in library fCalendar) is the closest to an S-Plus timeSeries.

Hence data files built in this R-language translation are all R-Metrics ‘timeSeries’ types. This means you must load the fCalendar library in order to use the R-data files. The setup program should require automatic loading of fCalendar when you open QRMlib.

To automatically load the QRMlib package (and the fCalendar package), see profileLoadLibrary
To automatically load the data files and save them in the current workspace, see storeDataInWorkspace

Author(s)

S-Plus Original by Alexander McNeil; R-language port by Scott Ulman

Maintainer: Scott Ulman <scottulman@hotmail.com> for R-language version

References

Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts
Princeton Press, 2005