R package qrmtools: Tools for Quantitative Risk Management. Functions and data sets for reproducing selected results from the book ”Quantitative Risk Management: Concepts, Techniques and Tools”. Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.
References in zbMATH (referenced in 1 article )
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- Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony: Improved algorithms for computing worst value-at-risk (2017)