The R scripts available on this site make widespread use of the packages listed below. Other packages are used more sparingly.

Packages Widely Used in the R Scripts

  • qrmtools. This package contains miscellaneous functions and tools for QRM. It is (and will be) very widely used in our examples. Note that this package is comparably new and under active development.
  • qrmdata. This is a large package of financial data for students, researchers or practitioners interested in learning Quantitative Risk Management (QRM). It is essential for following our examples. Note that due to its size, this package is currently only available on R-Forge.
  • QRM. This is an older package providing miscellaneous models and tools for QRM. It has its origins in S-plus code written for the first edition of the QRM textbook.
  • copula. The most complete package for copula modelling in R.
  • termstrc. This package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets.
  • sde. Companion package to the book Simulation and Inference for Stochastic Differential Equations with R Examples.
  • rugarch. This is a very comprehensive package for univariate GARCH modelling.

For further information about useful packages for financial modelling, see also the CRAN Task View for Empirical Finance.