Provides R-language code to examine Quantitative Risk Management concepts


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Documentation for package ‘QRMlib’ version 1.4.4

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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 (France) as timeSeries object from January 1994 to March 25, 2004
cac40.df CAC 40 Stock Market Index (France) as dataframe object from anuary 1994 to March 25, 2004
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
ConvertDFToTimeSeries ConvertDFToTimeSeries() method
CovToCor Covariance To Correlation Matrix

-- D --

danish Danish Data from January 1980 through December 1990 as timeSeries object
danish.df Danish Data from January 1980 through December 1990 as data.frame object
dbeta The Beta Distribution
dclaytonmix Mixing Distribution on Unit Interval Yielding Clayton Copula Model
dcopula.AC Archimedean Copula Density
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 (timeSeries object) January 1991 to December 2000
DJ.df Dow Jones 30 Stock Prices (data.frame object) January 1991 to December 2000. The .df indicates the dataframe object.
dji Dow Jones Index (timeSeries Object) January 2, 1980-March 25, 2004
dji.df Dow Jones Index (dataframe Object) January 2, 1980-March 25, 2004. The .df indicates the dataframe object.
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.AC Fit Archimedean Copula
fit.Archcopula2d Fit 2D Archimedean Copula
fit.binomial Fit Binomial Distribution
fit.binomialBeta Fit Beta-Binomial Distribution to defaults and obligors
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 as timeSeries object
ftse100.df FTSE 100 Stock Market Index as dataframe object
FXGBP.RAW Sterling Exchange Rates as timeSeries object
FXGBP.RAW.df Sterling Exchange Rates as data.frame object January 1987 to March 2004. The .df indicates the dataframe object.

-- H --

hessb Approximate Hessian Matrix
hillPlot Create Hill Plot
hsi Hang Seng Stock Market Index (timeSeries)
hsi.df Hang Seng Stock Market Index (dataframe) January 1994 to March 2004

-- 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.returns Make Financial Return Data
momest Moment Estimator of Default Probabilities

-- N --

nasdaq NASDAQ Stock Market Index (timeSeries object) January 3, 1994 to March 25, 2004
nasdaq.df NASDAQ Stock Market Index (data.frame object) January 3, 1994 to March 25, 2004
nikkei Nikkei Stock Market Index (timeSeries Object) January 4, 1994-March 25, 2004
nikkei.df Nikkei Stock Market Index (data.frame Object) January 4, 1994-March 25, 2004

-- 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
plotFittedGPDvsEmpiricalExcesses Graphically Compare Empirical Distribution of Excesses and GPD Fit
plotMultiTS Plot Multiple Time Series
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
rACp Simulate a Generalized Archimedean Copula representing p factors
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.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
rGumbel Gumbel 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 (timeSeries Object) November 9, 1990 to March 25, 2004
smi.df Swiss Market Index (dataframe Object) November 9, 1990 to March 25, 2004. The .df indicates the dataframe object.
sp500 Standard and Poors 500 Index (timeSeries Object) January 2, 1990-March 25, 2004
sp500.df Standard and Poors 500 Index (data.frame Object) January 2, 1990-March 25, 2004
spdata Standard and Poors Default Data
spdata.df Standard and Poors Default Data
spdata.raw Standard and Poors Default Data (timeSeries object)
spdata.raw.df Standard and Poors Default Data (Dataframe)
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 German Index (timeSeries Object) January 3, 1994-March 25, 2004
xdax.df Xetra DAX German Index (timeSeries Object) January 3, 1994-March 25, 2004
xiplot GPD Shape Parameter Plot