Description

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

Overview

This package provides functions for quantitative risk management as introduced in the book “Quantitative Risk Management: Concepts, Techniques and Tools” (henceforth: QRM). The S-Plus package “QRMlib” has been made available the first author of the book and can be obtained by following the instructions on https://www.qrmtutorial.org/books. A R port of this package has been made available on CRAN by Scott Ulmann. However, the package failed the checks and hence has been moved to the CRAN archive (QRMlib, version 1.4.5.1 as of 04/25/2011). This package is based on QRMlib, but (i), not all functions have been ported from QRMlib to QRM, (ii) the arguments of some functions have been modified, and (iii) the manual pages have been re-ordered by topic.
A list of the not ported functions is provided in QRM-defunct with pointers to their replacements. This was achieved by the inclusion of dependencies to the packages gsl, numDeriv and timeSeries and/or resorting to functions contained in the base installation of R. Second, in particular with respect to passing down arguments to the routines used in optimizations and/or argument matching, modifications to the functions' closures were necessary. In addition, the names of arguments in similar functions have been unified. Third, to provide the user a faster access to the manual pages of certain risk concepts, the functions' documentation are now ordered by concept rather than by the name of the functions.
Without modifying the existing functions of QRMlib too much, neither S3- nor S4-classes and methods have been included completely by now in QRM, but the characteristic of the former package as a collection of functions pertinent to quantitative risk modelling have been kept intact. However, this might change in future releases of QRM. By now, the current package can be used almost alike QRMlib, but with the stated modifications.

References

McNeil, A., Frey, R. and Embrechts, P., Quantitative Risk Management: Concepts, Techniques and Tools, 2005, Princeton: Princeton University Press.