Tools for Quantitative Risk Management


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Documentation for package ‘qrmtools’ version 0.0-1

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ARA Worst Value-at-Risk for Given Margins
Black_Scholes Black-Scholes formula and the Greeks
Black_Scholes_Greeks Black-Scholes formula and the Greeks
crude_VaR_bounds Worst Value-at-Risk for Given Margins
dev.off.pdf Cropping and Font Embedding PDF Device
dGEV Generalized Extreme Value Distribution
dGPD (Generalized) Pareto Distribution
dPar (Generalized) Pareto Distribution
dual_bound Worst Value-at-Risk for Given Margins
pGEV Generalized Extreme Value Distribution
pGPD (Generalized) Pareto Distribution
pPar (Generalized) Pareto Distribution
qGEV Generalized Extreme Value Distribution
qGPD (Generalized) Pareto Distribution
qPar (Generalized) Pareto Distribution
RA Worst Value-at-Risk for Given Margins
rGEV Generalized Extreme Value Distribution
rGPD (Generalized) Pareto Distribution
rPar (Generalized) Pareto Distribution
SnP_500 S&P 500 Data
worst_VaR_hom Worst Value-at-Risk for Given Margins