Provides R-Language Code to Examine Quantitative Risk Management Concepts [R package QRM version 0.4-35]

QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

Version: 0.4-35

Depends: R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries

Imports: Rcpp (≥ 0.11.1), mgcv, methods, timeDate

LinkingTo: Rcpp

Published: 2025年04月06日

DOI: 10.32614/CRAN.package.QRM

Author: Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil) [aut] (QRMlib), Scott Ulmann [trl] (First R port as package QRMlib)

Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>

License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]

NeedsCompilation: yes

In views: Distributions, ExtremeValue

CRAN checks: QRM results

Documentation:

Reference manual: QRM.html , QRM.pdf

Downloads:

Package source: QRM_0.4-35.tar.gz

Windows binaries: r-devel: QRM_0.4-35.zip, r-release: QRM_0.4-35.zip, r-oldrel: QRM_0.4-35.zip

macOS binaries: r-release (arm64): QRM_0.4-35.tgz, r-oldrel (arm64): QRM_0.4-35.tgz, r-release (x86_64): QRM_0.4-35.tgz, r-oldrel (x86_64): QRM_0.4-35.tgz

Old sources: QRM archive

Reverse dependencies:

Reverse imports: AZIAD, BFpack

Reverse suggests: fitteR, nvmix

Linking:

Please use the canonical form https://CRAN.R-project.org/package=QRM to link to this page.