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:Georgi N. Boshnakov [aut, cre]

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Bug tracker:https://github.com/geobosh/cvar/issues

On CRAN:

expected-shortfalllocations-scale-transformationsquantilequantile-functionsriskvalue-at-risk

6 exports 6 stars 4.96 score 3 dependencies 50 dependents 27 scripts 6.6k downloads

Last updated 2 years agofrom:207fd77ccc. Checks:OK: 7. Indexed: yes.

Exports:ESGarchModelsim_garch1c1VaRVaR_cdfVaR_qf

Dependencies:gbutilsrbibutilsRdpack