Tools for Quantitative Risk Management


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Documentation for package ‘qrmtools’ version 0.0-3

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ARA Best and 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 Best and Worst Value-at-Risk for Given Margins
dGEV Generalized Extreme Value Distribution
dGPD (Generalized) Pareto Distribution
dPar (Generalized) Pareto Distribution
dual_bound Best and Worst Value-at-Risk for Given Margins
ES_Par Risk Measures
ES_t Risk Measures
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 Best and Worst Value-at-Risk for Given Margins
rearrange Best and 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
VaR_bounds_hom Best and Worst Value-at-Risk for Given Margins
VaR_Par Risk Measures
VaR_t Risk Measures