This package provides functions for quantitative risk management as introduced in the book Quantitative Risk Management: Concepts, Techniques and Tools by McNeil, Frey and Embrechts. The (now-deprecated) S-Plus package QRMlib has been made available by the first author. An initial R port of this package has been made available on CRAN by Scott Ulmann. This package is still available in CRAN archive (see Archive-QRMlib). The package QRM is based on QRMlib, but:
A list of the not ported functions is provided in the manual page QRM-defunct with pointers to their replacements. This was achieved by the inclusion of dependencies to the packages gsl, numDeriv and timeSeries and/or resorting to functions contained in the base installation of R.
Second, in particular with respect to passing down arguments to the routines used in optimizations and/or argument matching, modifications to the functions’ closures were necessary. In addition, the names of arguments in similar functions have been unified.
Third, to provide the user a faster access to the manual pages of certain risk concepts, the functions’ documentation are now ordered by concept rather than by the name of the functions.
The current documentation can be downloaded as a pdf-file.
The package is hosted on CRAN and development versions can be installed from R-Forge or from GitHub. The CRAN release of the package can also be downloaded from this site in its source or binary form.