QRMlib

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.