Quantitative Risk Management R package

[This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

I shared an Econometric tools for performance and risk analysis package in R, today I introduce another Quantitative Risk Management R package, which is accompanying the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts, a nice book written by one of my professors. In this book special care is given to Copula analysis, Extreme value thoey, credit risk analysis, etc. Given the fact it was ranked by one of the top 10 most technical books of the year 2007, i bet you will learn a lot from it.

R-language version can be downloaded at http://cran.r-project.org/web/packages/QRMlib/index.html and S-PLUS library to accompany book is at http://www.ma.hw.ac.uk/~mcneil/book/index.html.
Tags – risk
Read the full post at Quantitative Risk Management R package.

To leave a comment for the author, please follow the link and comment on their blog: Quantitative Finance Collector.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)