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, Rudiger 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: 1.4.4
Date: 2008-07-14
Depends: R(>= 2.7.0), methods, fSeries, mvtnorm, chron
Suggests: its,Hmisc License: GPL version 2 or newer
URL: http://www.ma.hw.ac.uk/~mcneil/book/index.html
Packaged: July 07, 2008
Built: R 2.8.0dev; i386-pc-mingw32; 2008-07-07 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 fSeries) is the closest to an S-Plus timeSeries. RMetrics makes frequent significant changes in their timeSeries class. In fact, with R-2.6.0, RMetrics moved timeSeries from the fCalendar package to the fSeries package and made substantial changes. This of course caused necessary rewrites in QRMlib.

Although data files built in this R-language translation still use R-Metrics ‘timeSeries’ types, I am now including another set of datasets built as dataframes which you may try to use in your analyses. All data files are stored in the data subfolder of QRMlib. The timeSeries file types end with the extension .rda while the dataframe types end with the extension .df.R. See the section storeDataInWorkspace for further details about the files.

To automatically load the QRMlib 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, Rudiger Frey and Paul Embrechts
Princeton Press, 2005

See Also

QRMBook-workspace, storeDataInWorkspace, profileLoadLibrary


[Package QRMlib version 1.4.4 Index]