Tools for Quantitative Risk Management


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Documentation for package ‘qrmtools’ version 0.0-6

Help Pages

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
catch Catching Results, Warnings and Errors Simultaneously
crude_VaR_bounds Best and Worst Value-at-Risk for Given Margins
density_plot_matrix Density Plot of the Values from a Lower Triangular Matrix
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
fit_ARMA_GARCH Fitting ARMA-GARCH Processes
get_data Tools for Getting and Working with Data
log_returns Compute Log-Returns or the Inverse Transformation
pGEV Generalized Extreme Value Distribution
pGPD (Generalized) Pareto Distribution
plot_matrix Graphical Tool for Visualizing Matrices
plot_NA Graphical Tool for Visualizing NAs in a Data Set
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
VaR_bounds_hom Best and Worst Value-at-Risk for Given Margins
VaR_Par Risk Measures
VaR_t Risk Measures