This package is designed to accompany the book
Quantitative Risk Management: Concepts, Techniques and Tools by
Alexander J. McNeil, Rudiger Frey and Paul Embrechts.
| Version: |
0.4-8 |
| Depends: |
R (≥ 2.10.0), gsl, Matrix, mvtnorm, numDeriv, timeSeries |
| Published: |
2012-07-26 |
| Author: |
Bernhard Pfaff [aut, cre], Alexander McNeil [aut] (S-Plus
original (QRMlib)), Scott Ulmann [trl] (First R port as package
QRMlib) |
| Maintainer: |
Bernhard Pfaff <bernhard at pfaffikus.de> |
| License: |
GPL (≥ 2) |
| NeedsCompilation: |
yes |
| CRAN checks: |
QRM results |