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Nov 5

Quantitative Risk Management R package

Posted by abiao at 20:43 | Code » R/Splus | Comments(0) | Reads(11746)
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.

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