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Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function. See Chan, Nadarajah and Afuecheta (2015) <doi:10.1080/03610918.2014.944658> for more details.
Version: | 1.0.2 |
Depends: | R (≥ 2.15.0) |
Published: | 2023-04-22 |
DOI: | 10.32614/CRAN.package.VaRES |
Author: | Leo Belzile |
Maintainer: | Leo Belzile <belzilel at gmail.com> |
BugReports: | https://github.com/lbelzile/VaRES/issues/ |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
In views: | Finance |
CRAN checks: | VaRES results |
Reference manual: | VaRES.pdf |
Package source: | VaRES_1.0.2.tar.gz |
Windows binaries: | r-devel: VaRES_1.0.2.zip, r-release: VaRES_1.0.2.zip, r-oldrel: VaRES_1.0.2.zip |
macOS binaries: | r-release (arm64): VaRES_1.0.2.tgz, r-oldrel (arm64): VaRES_1.0.2.tgz, r-release (x86_64): VaRES_1.0.2.tgz, r-oldrel (x86_64): VaRES_1.0.2.tgz |
Old sources: | VaRES archive |
Reverse imports: | dprop |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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