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 <bernhard at pfaffikus.de> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| In views: |
Distributions, ExtremeValue |
| CRAN checks: |
QRM results |