Introduction | Value at Risk and Expected Shortfall | VaR | Expected shortfall
Package: cvar 0.5.9000
Georgi N. Boshnakov
cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions
Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile function, distribution function, random number generator or probability density function. ES is also known as Conditional Value at Risk (CVaR). Virtually any continuous distribution can be specified. The functions are vectorized over the arguments. The computations are done directly from the definitions, see e.g. Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.
Authors:
cvar_0.5.9000.tar.gz
cvar_0.5.9000.zip(r-4.7)cvar_0.5.9000.zip(r-4.6)cvar_0.5.9000.zip(r-4.5)
cvar_0.5.9000.tgz(r-4.6-any)cvar_0.5.9000.tgz(r-4.5-any)
cvar_0.5.9000.tar.gz(r-4.7-any)cvar_0.5.9000.tar.gz(r-4.6-any)
cvar_0.5.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
cvar/json (API)
| # Install 'cvar' in R: |
| install.packages('cvar', repos = c('https://geobosh.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/geobosh/cvar/issues
Pkgdown/docs site:https://geobosh.github.io
expected-shortfalllocations-scale-transformationsquantilequantile-functionsriskvalue-at-risk
Last updated from:207fd77ccc. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 124 | ||
| source / vignettes | OK | 165 | ||
| linux-release-x86_64 | OK | 120 | ||
| macos-release-arm64 | OK | 69 | ||
| macos-oldrel-arm64 | OK | 90 | ||
| windows-devel | OK | 70 | ||
| windows-release | OK | 67 | ||
| windows-oldrel | OK | 67 | ||
| wasm-release | OK | 106 |
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Compute Conditional Value-at-Risk and Value-at-Risk | cvar-package cvar |
| Compute expected shortfall (ES) of distributions | ES ES.default ES.numeric |
| Specify a GARCH model | GarchModel |
| Prediction for GARCH(1,1) time series | predict.garch1c1 |
| Simulate GARCH(1,1) time series | sim_garch1c1 |
| Compute Value-at-Risk (VaR) | VaR VaR.default VaR.numeric VaR_cdf VaR_qf |