Package: cvar
Type: Package
Title: Compute Expected Shortfall and Value at Risk for Continuous
        Distributions
Version: 0.6.1
Authors@R: person(given = c("Georgi", "N."), family = "Boshnakov",
                  role = c("aut", "cre"), 
                  email = "georgi.boshnakov@manchester.ac.uk",
		     comment = c(ORCID = "0000-0003-2839-346X"))
Description: Compute expected shortfall (ES) and Value at Risk (VaR)
        from a quantile function, distribution function, random number
        generator, probability density function, or data.  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.
URL: https://geobosh.github.io/cvar/ (doc),
        https://CRAN.R-project.org/package=cvar
BugReports: https://github.com/GeoBosh/cvar/issues
Imports: gbutils, Rdpack (>= 0.8)
Suggests: testthat, fGarch, PerformanceAnalytics
RdMacros: Rdpack
License: GPL (>=2)
Collate: VaR.R cvar-package.R garch.R
Encoding: UTF-8
RoxygenNote: 7.3.3
Repository: https://geobosh.r-universe.dev
Date/Publication: 2026-08-25 07:22:04 UTC
RemoteUrl: https://github.com/geobosh/cvar
RemoteRef: HEAD
RemoteSha: a97729363fb4899b37e2f0c0b6e39acaa5a47858
NeedsCompilation: no
Packaged: 2026-10-24 09:10:41 UTC; root
Author: Georgi N. Boshnakov [aut, cre] (ORCID:
    <https://orcid.org/0000-0003-2839-346X>)
Maintainer: Georgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>