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QRM

Description

This package provides functions for quantitative risk management as introduced in the book "Quantitative Risk Management: Concepts, Techniques and Tools" by McNeil, Frey and Embrechts. The S-Plus package QRMlib has been made available the first author of the book and can be obtained by following the instructions on S-Plus QRMlib. An initial R port of this package has been made available on CRAN by Scott Ulmann. This package is still available in CRAN archive (see Archive-QRMlib, version 1.4.5.1 as of 25th April 2011). The package QRM is based on QRMlib, but (i), not all functions have been ported from QRMlib to QRM, (ii) the arguments of some functions have been modified, and (iii) the manual pages have been re-ordered by topic. A list of the not ported functions is provided in the manual page QRM-defunct with pointers to their replacements. This was achieved by the inclusion of dependencies to the packages gsl, numDeriv and timeSeries and/or resorting to functions contained in the base installation of R. Second, in particular with respect to passing down arguments to the routines used in optimizations and/or argument matching, modifications to the functions' closures were necessary. In addition, the names of arguments in similar functions have been unified. Third, to provide the user a faster access to the manual pages of certain risk concepts, the functions' documentation are now ordered by concept rather than by the name of the functions.

Documentation

The current documentation can be downloaded as pdf-file here.

Download

The package is hosted on CRAN and development versions can be installed from R-Forge. The CRAN release of the package can also be downloaded from this site in its source or binary form.

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