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

This package is designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts.

Version: 0.4-9
Depends: R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries
Imports: mgcv
Published: 2013-10-31
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 <bernhard at pfaffikus.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: QRM results


Reference manual: QRM.pdf
Package source: QRM_0.4-9.tar.gz
MacOS X binary: QRM_0.4-9.tgz
Windows binary: QRM_0.4-9.zip
Old sources: QRM archive

Reverse dependencies:

Reverse depends: BayesMed