# Provides R-Language Code to Examine Quantitative Risk Management Concepts

## Documentation for package ‘QRM’ version 0.4-13

- DESCRIPTION file.
- Code demos. Use demo() to run them.

## Help Pages

A B C D E F G H J K L M N P Q R S U V X

QRM-package | Quantitative Risk Modelling

## -- A --

aggregateMonthlySeries | Defunct Functions in Package QRM
aggregateQuarterlySeries | Defunct Functions in Package QRM
aggregateSignalSeries | Defunct Functions in Package QRM
aggregateWeeklySeries | Defunct Functions in Package QRM

## -- B --

besselM3 | Defunct Functions in Package QRM
BiDensPlot | Bivariate Density Plot

## -- C --

cac40 | CAC 40 Stock Market Index (France)
cac40.df | CAC 40 Stock Market Index (France)
cal.beta | Credit Risk Modelling
cal.claytonmix | Credit Risk Modelling
cal.probitnorm | Credit Risk Modelling
ConvertDFToTimeSeries | Defunct Functions in Package QRM
CopulaStudent | Student's t Copula
CovToCor | Defunct Functions in Package QRM
Credit | Credit Risk Modelling

## -- D --

danish | Danish Fire Losses
danish.df | Danish Fire Losses
dclaytonmix | Credit Risk Modelling
dcopula.AC | Archimedean Copulae
dcopula.clayton | Archimedean Copulae
dcopula.gauss | Gauss Copula
dcopula.gumbel | Archimedean Copulae
dcopula.t | Student's t Copula
dGEV | Generalized Extreme Value Distribution
dghyp | Uni- and Multivariate Generalized Hyperbolic Distribution
dghypB | Uni- and Multivariate Generalized Hyperbolic Distribution
dGPD | Generalized Pareto Distribution
dGumbel | Gumbel Distribution
DJ | Dow Jones 30 Stock Prices
DJ.df | Dow Jones 30 Stock Prices
dji | Dow Jones Index
dji.df | Dow Jones Index
dmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution
dmnorm | Multivariate Gauss Distribution
dmt | Student's t Distribution
dprobitnorm | Credit Risk Modelling
dsmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution

## -- E --

edf | Empirical Distribution Function
EGIG | Generalized Inverse Gaussian Distribution
eigenmeth | Make Matrix Positive Definite
ElogGIG | Generalized Inverse Gaussian Distribution
EMupdate | Normal Inverse Gaussian and Hyperbolic Distribution
equicorr | Equal Correlation Matrix
ES | Expected Shortfall
ESnorm | Expected Shortfall
ESst | Expected Shortfall
extremalPP | Point Processes

## -- F --

findthreshold | Peaks-over-Threshold Method
fit.AC | Archimedean Copulae
fit.Archcopula2d | Defunct Functions in Package QRM
fit.binomial | Credit Risk Modelling
fit.binomialBeta | Credit Risk Modelling
fit.binomialLogitnorm | Credit Risk Modelling
fit.binomialProbitnorm | Credit Risk Modelling
fit.gausscopula | Gauss Copula
fit.GEV | Generalized Extreme Value Distribution
fit.GPD | Peaks-over-Threshold Method
fit.GPDb | Defunct Functions in Package QRM
fit.mNH | Normal Inverse Gaussian and Hyperbolic Distribution
fit.mst | Student's t Distribution
fit.NH | Normal Inverse Gaussian and Hyperbolic Distribution
fit.norm | Multivariate Gauss Distribution
fit.POT | Point Processes
fit.seMPP | Point Processes
fit.sePP | Point Processes
fit.st | Student's t Distribution
fit.tcopula | Student's t Copula
fit.tcopula.rank | Defunct Functions in Package QRM
ftse100 | FTSE 100 Stock Market Index
ftse100.df | FTSE 100 Stock Market Index
FXGBP | Sterling Exchange Rates
FXGBP.df | Sterling Exchange Rates

## -- G --

gam.predict | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
gamGPDboot | Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation
gamGPDfit | Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation
Gauss | Multivariate Gauss Distribution
get.gam.fit | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
get.GPD.fit | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
GEV | Generalized Extreme Value Distribution
GIG | Generalized Inverse Gaussian Distribution
GPD | Generalized Pareto Distribution
GPD.predict | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()

## -- H --

hessb | Defunct Functions in Package QRM
hill | Peaks-over-Threshold Method
hillPlot | Peaks-over-Threshold Method
hsi | Hang Seng Stock Market Index
hsi.df | Hang Seng Stock Market Index

## -- J --

jointnormalTest | Multivariate Gauss Distribution

## -- K --

Kendall | Kendall's Rank Correlation
kurtosisSPlus | Defunct Functions in Package QRM

## -- L --

lbeta | Defunct Functions in Package QRM

## -- M --

MardiaTest | Multivariate Gauss Distribution
MCECM.Qfunc | Normal Inverse Gaussian and Hyperbolic Distribution
MCECMupdate | Normal Inverse Gaussian and Hyperbolic Distribution
MEplot | Peaks-over-Threshold Method
mk.returns | Defunct Functions in Package QRM
momest | Credit Risk Modelling

## -- N --

nasdaq | NASDAQ Stock Market Index
nasdaq.df | NASDAQ Stock Market Index
NH | Normal Inverse Gaussian and Hyperbolic Distribution
nikkei | Nikkei Stock Market Index
nikkei.df | Nikkei Stock Market Index

## -- P --

pclaytonmix | Credit Risk Modelling
Pconstruct | Assemble a Correlation Matrix for ML Copula Fitting
Pdeconstruct | Disassemble a Correlation Matrix for ML Copula Fitting
pGEV | Generalized Extreme Value Distribution
pGPD | Generalized Pareto Distribution
pGumbel | Gumbel Distribution
plot.MPP | Point Processes
plot.PP | Point Processes
plot.sePP | Point Processes
plotFittedGPDvsEmpiricalExcesses | Peaks-over-Threshold Method
plotMultiTS | Defunct Functions in Package QRM
plotTail | Peaks-over-Threshold Method
PointProcess | Point Processes
POT | Peaks-over-Threshold Method
pprobitnorm | Credit Risk Modelling
psifunc | Defunct Functions in Package QRM

## -- Q --

qGEV | Generalized Extreme Value Distribution
qGPD | Generalized Pareto Distribution
qGumbel | Gumbel Distribution
QQplot | Generic Quantile-Quantile Plot
QRM-defunct | Defunct Functions in Package QRM
qst | Student's t Distribution

## -- R --

rAC | Archimedean Copulae
rACp | Archimedean Copulae
rBB9Mix | Archimedean Copulae
rbinomial.mixture | Credit Risk Modelling
rclaytonmix | Credit Risk Modelling
rcopula.clayton | Archimedean Copulae
rcopula.frank | Archimedean Copulae
rcopula.gauss | Gauss Copula
rcopula.gumbel | Archimedean Copulae
rcopula.Gumbel2Gp | Archimedean Copulae
rcopula.GumbelNested | Archimedean Copulae
rcopula.t | Student's t Copula
rfrank | Archimedean Copulae
rFrankMix | Archimedean Copulae
rGEV | Generalized Extreme Value Distribution
rghyp | Uni- and Multivariate Generalized Hyperbolic Distribution
rghypB | Uni- and Multivariate Generalized Hyperbolic Distribution
rGIG | Generalized Inverse Gaussian Distribution
rgig | Generalized Inverse Gaussian Distribution
rGPD | Generalized Pareto Distribution
rGumbel | Gumbel Distribution
risk.measure | Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
RiskMeasures | Peaks-over-Threshold Method
rlogitnorm | Credit Risk Modelling
rmghyp | Uni- and Multivariate Generalized Hyperbolic Distribution
rmnorm | Multivariate Gauss Distribution
rmt | Student's t Distribution
rprobitnorm | Credit Risk Modelling
rstable | Archimedean Copulae
rtcopulamix | Credit Risk Modelling

## -- S --

seMPP.negloglik | Point Processes
sePP.negloglik | Point Processes
SEprocExciteFunc | Point Processes
showRM | Peaks-over-Threshold Method
signalSeries | Defunct Functions in Package QRM
smi | Swiss Market Index
smi.df | Swiss Market Index
sp500 | Standard and Poors 500 Index
sp500.df | Standard and Poors 500 Index
spdata | Standard and Poors Default Data
spdata.df | Standard and Poors Default Data
spdata.raw | Standard and Poors Default Data
spdata.raw.df | Standard and Poors Default Data
Spearman | Spearman's Rank Correlation
stationary.sePP | Point Processes
Student | Student's t Distribution
symmetrize | Defunct Functions in Package QRM

## -- U --

unmark | Point Processes

## -- V --

VaRbound | Computing lower and upper bounds for the (smallest or largest) VaR
volfunction | Point Processes

## -- X --

xdax | Xetra DAX German Index
xdax.df | Xetra DAX German Index
xiplot | Peaks-over-Threshold Method