QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts (original) (raw)
Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.
| Version: | 0.4-31 |
|---|---|
| Depends: | R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries |
| Imports: | Rcpp (≥ 0.11.1), mgcv, methods, timeDate |
| LinkingTo: | Rcpp |
| Published: | 2020-02-15 |
| DOI: | 10.32614/CRAN.package.QRM |
| Author: | Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib) |
| Maintainer: | Bernhard Pfaff |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| In views: | Distributions, ExtremeValue |
| CRAN checks: | QRM results |
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