QRMlib (

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Provides R-language code to examine Quantitative Risk Management concepts.


This is a free R-language library designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts. A separate SPlus version can be downloaded from Alexander McNeil's URL at http://www.ma.hw.ac.uk/~mcneil/book/QRMlib.html. Be sure NOT to load packages timeDate and timeSeries when running this package.

Maintainer: R-language version by Scott Ulman
Author(s): Alexander McNeil for S-Plus original; R port by Scott Ulman

License: GPL (>= 2)

Uses: chron, fSeries, mvtnorm, nlme
Reverse depends: MHadaptive

Released over 8 years ago.

3 previous versions



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