Package: cvar
Type: Package
Title: Compute Expected Shortfall and Value at Risk for Continuous
        Distributions
Version: 0.5.9000
Authors@R: person(given = c("Georgi", "N."), family = "Boshnakov",
                  role = c("aut", "cre"), 
                  email = "georgi.boshnakov@manchester.ac.uk")
Description: 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.
URL: https://geobosh.github.io/cvar/ (doc),
        https://github.com/GeoBosh/cvar (devel)
BugReports: https://github.com/GeoBosh/cvar/issues
Imports: gbutils, Rdpack (>= 0.8)
RdMacros: Rdpack
License: GPL (>=2)
Collate: VaR.R cvar-package.R garch.R
RoxygenNote: 7.2.0
Suggests: testthat, fGarch, PerformanceAnalytics
Repository: https://geobosh.r-universe.dev
Date/Publication: 2022-11-09 21:52:26 UTC
RemoteUrl: https://github.com/geobosh/cvar
RemoteRef: HEAD
RemoteSha: 207fd77ccc804123cd31126b2ce6d79402611754
NeedsCompilation: no
Packaged: 2026-06-06 05:58:57 UTC; root
Author: Georgi N. Boshnakov [aut, cre]
Maintainer: Georgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>