Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.
| Version: | 0.4-35 |
| Depends: | R (≥ 2.10.0),gsl,Matrix,mvtnorm,numDeriv,timeSeries |
| Imports: | Rcpp (≥ 0.11.1),mgcv, methods,timeDate |
| LinkingTo: | Rcpp |
| Published: | 2025-04-06 |
| DOI: | 10.32614/CRAN.package.QRM |
| Author: | Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil) [aut] (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 |