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]

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✨
card.svg |card.png
cvar/json (API)
NEWS

# 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

On CRAN:

Conda:

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

8.34 score 6 stars 56 packages 33 scripts 13k downloads 6 exports 3 dependencies

Last updated from:207fd77ccc. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK120
source / vignettesOK178
linux-release-x86_64OK114
macos-release-arm64OK102
macos-oldrel-arm64OK111
windows-develOK84
windows-releaseOK71
windows-oldrelOK80
wasm-releaseOK94

Exports:ESGarchModelsim_garch1c1VaRVaR_cdfVaR_qf

Dependencies:gbutilsrbibutilsRdpack

Brief guide to R package cvar

Rendered fromGuide_cvar.Rnwusingutils::Sweaveon May 07 2026.

Last update: 2022-11-03
Started: 2018-04-08