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  "Title": "Compute Expected Shortfall and Value at Risk for Continuous\nDistributions",
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  "Description": "Compute expected shortfall (ES) and Value at Risk (VaR)\nfrom a quantile function, distribution function, random number\ngenerator, probability density function, or data.  ES is also\nknown as Conditional Value at Risk (CVaR). Virtually any\ncontinuous distribution can be specified.  The functions are\nvectorized over the arguments. The computations are done\ndirectly from the definitions, see e.g. Acerbi and Tasche\n(2002) <doi:10.1111/1468-0300.00091>.  Some support for GARCH\nmodels is provided, as well.",
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  "BugReports": "https://github.com/GeoBosh/cvar/issues",
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  "License": "GPL (>=2)",
  "Collate": "VaR.R cvar-package.R garch.R",
  "Encoding": "UTF-8",
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  "Repository": "https://geobosh.r-universe.dev",
  "Date/Publication": "2026-08-25 07:22:04 UTC",
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  "_usedby": 55,
  "_updates": [
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  "_topics": [
    "expected-shortfall",
    "locations-scale-transformations",
    "quantile",
    "quantile-functions",
    "risk",
    "value-at-risk"
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      "page": "cvar-package",
      "title": "Compute Expected shortfall (ES) and Value-at-Risk (VaR)",
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        "CVaR",
        "ETL",
        "VaR",
        "Value at Risk",
        "average value at risk",
        "conditional value at risk",
        "expected shortfall",
        "expected tail loss"
      ],
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        "cvar-package",
        "cvar"
      ]
    },
    {
      "page": "ES",
      "title": "Compute expected shortfall (ES)",
      "concept": [
        "AVaR",
        "CVaR",
        "ETL",
        "average value at risk",
        "conditional value at risk",
        "expected shortfall",
        "expected tail loss"
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        "ES.default",
        "ES.matrix",
        "ES.numeric"
      ]
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        "simulate GARCH time series"
      ],
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      "title": "Compute Value-at-Risk (VaR)",
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      ],
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        "VaR",
        "VaR.default",
        "VaR.matrix",
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        "Value at Risk and Expected Shortfall",
        "VaR",
        "Expected shortfall"
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      "created": "2018-04-08 16:48:28",
      "modified": "2026-08-25 07:22:04",
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