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VaRES (version 1.0)

Computes value at risk and expected shortfall for over 100 parametric distributions

Description

Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function.

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Version

Install

install.packages('VaRES')

Monthly Downloads

281

Version

1.0

License

GPL (>= 2)

Maintainer

Saralees Nadarajah

Last Published

August 27th, 2013

Functions in VaRES (1.0)

Libby-Novick beta distribution

Double Weibull distribution

Logistic distribution

Student's t distribution

Holla-Bhattacharya Laplace distribution

Beard distribution

Generalized logistic distribution

Tukey-Lambda distribution

Inverse exponentiated exponential distribution

Exponential extension distribution

Xie distribution

Ramberg-Schmeiser distribution

Kumaraswamy gamma distribution

Loglog distribution

Hankin-Lee distribution

Asymmetric power distribution

Beta Gumbel 2 distribution

Kumaraswamy half normal distribution

Inverse gamma distribution

Asymmetric exponential power distribution

Kumaraswamy log-logistic distribution

Kumaraswamy distribution

Uniform distribution

Cauchy distribution

Exponential Poisson distribution

Lomax distribution

Logistic exponential distribution

Generalized asymmetric Student's t distribution

Beta Burr XII distribution

Chen distribution

Asymmetric Laplace distribution

Log Laplace distribution

Linear failure rate distribution

Poiraud-Casanova-Thomas-Agnan Laplace distribution

Dagum distribution

Marshall-Olkin Weibull distribution

Beta normal distribution

Exponentiated Weibull distribution

genpowerweibull

Generalized power Weibull distribution

Generalized logistic IV distribution

Gompertz distribution

McGill Laplace distribution

Pareto distribution

Arcsine distribution

Beta distribution

Exponentiated logistic distribution

Exponentiated exponential distribution

Lognormal distribution

Frechet distribution

Generalized extreme value distribution

Weibull distribution

Schabe distribution

Half logistic distribution

Quadratic distribution

Half normal distribution

Reflected gamma distribution

Inverse beta distribution

Generalized beta distribution

Marshall-Olkin exponential distribution

Pareto positive stable distribution

Kumaraswamy Weibull distribution

Triangular distribution

Normal distribution

Logistic Rayleigh distribution

Exponential logarithmic distribution

Generalized inverse beta distribution

Kumaraswamy Pareto distribution

Two sided power distribution

Perks distribution

Power function I distribution

Gumbel II distribution

Kumaraswamy Gumbel distribution

Beta Pareto distribution

Beta Gumbel distribution

Kumaraswamy Burr XII distribution

Beta lognormal distribution

Hyperbolic secant distribution

Gumbel distribution

Log gamma distribution

Compound Laplace gamma distribution

Stacy distribution

Beta Frechet distribution

Generalized beta II distribution

Laplace distribution

Gamma distribution

Beta Burr distribution

Half Cauchy distribution

Generalized Pareto distribution

Kumaraswamy exponential distribution

Nakagami distribution

Freimer distribution

McDonald-Richards beta distribution

Computes value at risk and expected shortfall for over 100 parametric distributions

Beta exponential distribution

Generalized logistic III distribution

Topp-Leone distribution

Beta Gompertz distribution

Beta Lomax distribution

Log beta distribution

Burr distribution

Log-logistic distribution

Hosking logistic distribution

Birnbaum-Saunders distribution

Complementary beta distribution

Generalized uniform distribution

Half Student's t distribution

Log Cauchy distribution

Beta Weibull distribution

Exponential geometric distribution

Exponential distribution

Burr XII distribution

Exponential power distribution

Kumaraswamy normal distribution

Power function II distribution