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 Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=QRM to link to this page.
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