QRMlib (

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 about 9 years ago.