Global Association of Risk Professionals: Financial Risk Manager


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Documentation for package ‘GARPFRM’ version 0.1.0

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GARPFRM-package Functions to implement the topics presented in 'Financial Risk Manager (FRM) Part 1' (2012) series of books.
backtestVaR Backtest Value-at-Risk (VaR)
backtestVaR.GARCH GARCH Model VaR Backtest
bootCor Bootstrap Correlation
bootCov Bootstrap Covariance
bootES Bootstrap Expected Shortfall
bootFUN Bootstrap
bootMean Bootstrap Mean
bootSD Bootstrap Standard Deviation
bootSimpleVolatility Bootstrap Simple Volatility
bootStdDev Bootstrap StdDev
bootVaR Bootstrap Value at Risk
CAPM Capital Asset Pricing Model
chartSML CAPM SML
consumption consumption data
efficientFrontier Efficient Frontier
efficientFrontierTwoAsset Efficient Frontier for Portfolio of Two Assets
endingPrices Ending Prices of Monte Carlo Simulation
estimateLambdaCor Estimated Lambda
estimateLambdaCov Estimated Lambda
estimateLambdaVol Estimated Lambda
EWMA EWMA Model
fama_french_factors Factors for the Fama/French 3 factor model
forecast Model Forecasting
forecast.uvEWMAvol Forecast Univariate EWMA Volatility Model
forecast.uvGARCH Forecast Univariate GARCH Models
GARPFRM Functions to implement the topics presented in 'Financial Risk Manager (FRM) Part 1' (2012) series of books.
getAlphas CAPM alphas
getBetas CAPM betas
getCor EWMA Correlation
getCov EWMA Covariance
getEstimate Get Estimated Values
getFit Get Fitted GARCH Model
getSpec Get GARCH Model Specification
getStatistics CAPM statistics
getVaREstimates VaR Estimates Extract VaR Estimates from a VaR Backtest
getVaRViolations VaR Violations Extract VaR Violations from a VaR Backtest
hypTest CAPM Hypothesis Test
largecap.ts CRSP Large Cap Monthly Returns
largecap_weekly CRSP Large Cap Weekly Returns
microcap.ts CRSP Micro Cap Monthly Returns
microcap_weekly CRSP Micro Cap Weekly Returns
midcap.ts CRSP Mid Cap Monthly Returns
midcap_weekly CRSP Mid Cap Weekly Returns
minVarPortfolio Minimum Variance Portfolio
monteCarlo Monte Carlo Price Path Simulation
plot.backtestVaR Plotting for VaR Backtest
plot.capm_mlm Plotting method for CAPM
plot.capm_uv Plotting method for CAPM
plot.efficient.frontier Efficient Frontier Plot
plot.efTwoAsset Efficient Frontier Plot
plot.EWMA Plot EWMA Model Estimates
plot.uvGARCH Plot GARCH Model
plotEndingPrices Plot Ending Prices
portReturnTwoAsset Portfolio Return for a Portfolio of Two Assets
portSDTwoAsset Portfolio Standard Deviation for a Portfolio of Two Assets
prices Equity Prices
realizedCor Realized Correlation
realizedCov Realized Covariance
realizedVol Realized Volatility
returns Equity Returns
rollCor Rolling Correlation Estimate
rollCov Rolling Covariance Estimate
rollSD Rolling Standard Deviation Estimate
rollSimpleVolatility Rolling Simple Volatility Estimate
simpleVolatility Simple Volatility
smallcap.ts CRSP Small Cap Monthly Returns
smallcap_weekly CRSP Small Cap Weekly Returns
tangentPortfolio Tangent Portfolio
uvGARCH Univariate GARCH Model