CRAN
QRM 0.4-13
Provides R-Language Code to Examine Quantitative Risk Management Concepts
Released Mar 18, 2016 by Bernhard Pfaff
This package cannot yet be used with Renjin it depends on other packages which are not available: timeSeries 3042.102
Dependencies
timeSeries 3042.102 numDeriv 2016.8-1.1 timeDate 3043.102 Matrix 1.2-17 gsl 2.1-6 mgcv 1.8-28 Rcpp mvtnorm 1.0-11
Accompanying package to the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts.