R: Tools for Quantitative Risk Management

# Tools for Quantitative Risk Management

## Documentation for package ‘qrmtools’ version 0.0-19

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Code demos. Use demo() to run them.
- Package NEWS

## Help Pages

ABRA | Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
alloc_ellip | Computing allocations
alloc_np | Computing allocations
ARA | Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
Black_Scholes | Black-Scholes formula and the Greeks
Black_Scholes_Greeks | Black-Scholes formula and the Greeks
block_rearrange | Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
catch | Catching Results, Warnings and Errors Simultaneously
conditioning | Computing allocations
crude_VaR_bounds | "Analytical" Best and Worst Value-at-Risk for Given Marginals
deBrowning | Brownian and Related Motions
dGEV | Generalized Extreme Value Distribution
dGPD | (Generalized) Pareto Distribution
dGPDtail | GPD-Based Tail Distribution (POT method)
dPar | (Generalized) Pareto Distribution
dual_bound | "Analytical" Best and Worst Value-at-Risk for Given Marginals
edf_plot | Plot of Step Functions, Empirical Distribution and Quantile Functions
eqf_plot | Plot of Step Functions, Empirical Distribution and Quantile Functions
ES_GPD | Risk Measures
ES_GPDtail | Risk Measures
ES_np | Risk Measures
ES_Par | Risk Measures
ES_t | Risk Measures
ES_t01 | Risk Measures
fit_ARMA_GARCH | Fitting ARMA-GARCH Processes
fit_GARCH_11 | Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes
fit_GEV_MLE | Parameter Estimators of the Generalized Extreme Value Distribution
fit_GEV_PWM | Parameter Estimators of the Generalized Extreme Value Distribution
fit_GEV_quantile | Parameter Estimators of the Generalized Extreme Value Distribution
fit_GPD_MLE | Parameter Estimators of the Generalized Pareto Distribution
fit_GPD_MOM | Parameter Estimators of the Generalized Pareto Distribution
fit_GPD_PWM | Parameter Estimators of the Generalized Pareto Distribution
get_data | Tools for Getting and Working with Data
GEV_shape_plot | Fitted GEV Shape as a Function of the Threshold
gEX | Risk Measures
GPD_shape_plot | Fitted GPD Shape as a Function of the Threshold
gVaR | Risk Measures
hierarchical_matrix | Construction of Hierarchical Matrices
Hill_estimator | Hill Estimator and Plot
Hill_plot | Hill Estimator and Plot
logLik_GEV | Parameter Estimators of the Generalized Extreme Value Distribution
logLik_GPD | Parameter Estimators of the Generalized Pareto Distribution
maha2_test | Formal Tests of Multivariate Normality
mardia_test | Formal Tests of Multivariate Normality
matrix_density_plot | Density Plot of the Values from a Lower Triangular Matrix
matrix_plot | Graphical Tool for Visualizing Matrices
mean_excess_GPD | Mean Excess
mean_excess_np | Mean Excess
mean_excess_plot | Mean Excess
NA_plot | Graphical Tool for Visualizing NAs in a Data Set
pGEV | Generalized Extreme Value Distribution
pGPD | (Generalized) Pareto Distribution
pGPDtail | GPD-Based Tail Distribution (POT method)
pPar | (Generalized) Pareto Distribution
pp_plot | P-P and Q-Q Plots
qGEV | Generalized Extreme Value Distribution
qGPD | (Generalized) Pareto Distribution
qGPDtail | GPD-Based Tail Distribution (POT method)
qPar | (Generalized) Pareto Distribution
qq_plot | P-P and Q-Q Plots
RA | Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
rBrownian | Brownian and Related Motions
rearrange | Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals via Rearrangements
returns | Computing Returns and Inverse Transformation
returns_qrmtools | Computing Returns and Inverse Transformation
rGEV | Generalized Extreme Value Distribution
rGPD | (Generalized) Pareto Distribution
rGPDtail | GPD-Based Tail Distribution (POT method)
rPar | (Generalized) Pareto Distribution
RVaR_np | Risk Measures
step_plot | Plot of Step Functions, Empirical Distribution and Quantile Functions
tail_index_GARCH_11 | Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes
tail_plot | Plot of an Empirical Surival Function with Smith Estimator
VaR_bounds_hom | "Analytical" Best and Worst Value-at-Risk for Given Marginals
VaR_GPD | Risk Measures
VaR_GPDtail | Risk Measures
VaR_np | Risk Measures
VaR_Par | Risk Measures
VaR_t | Risk Measures
VaR_t01 | Risk Measures