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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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Install

install.packages('VaRES')

Monthly Downloads

301

Version

1.0

License

GPL (>= 2)

Maintainer

Saralees Nadarajah

Last Published

August 27th, 2013

Functions in VaRES (1.0)