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VaRES (version 1.0.1)

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

334

Version

1.0.1

License

GPL (>= 2)

Maintainer

Saralees Nadarajah

Last Published

June 23rd, 2022

Functions in VaRES (1.0.1)

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

Asymmetric exponential power distribution

Beta Burr XII distribution

Exponential extension distribution

Exponential geometric distribution

Generalized beta II distribution

Beta lognormal distribution

Beta Gumbel 2 distribution

Beta distribution

Kumaraswamy distribution

Half Cauchy distribution

Log Cauchy distribution

Generalized inverse beta distribution

Inverse gamma distribution

Half Student's t distribution

Libby-Novick beta distribution

Topp-Leone distribution

McDonald-Richards beta distribution

Chen distribution

Loglog distribution

Log gamma distribution

Log-logistic distribution

Compound Laplace gamma distribution

Pareto positive stable distribution

Asymmetric power distribution

Pareto distribution

Freimer distribution

Asymmetric Laplace distribution

Exponential logarithmic distribution

Exponentiated logistic distribution

Generalized extreme value distribution

Exponentiated Weibull distribution

Exponential power distribution

Gompertz distribution

Kumaraswamy Burr XII distribution

Student's t distribution

Ramberg-Schmeiser distribution

Beard distribution

Kumaraswamy exponential distribution

Logistic Rayleigh distribution

Beta Burr distribution

Hyperbolic secant distribution

Logistic exponential distribution

Beta normal distribution

Beta Lomax distribution

Dagum distribution

Complementary beta distribution

Triangular distribution

Stacy distribution

Two sided power distribution

Half logistic distribution

Half normal distribution

Gamma distribution

Holla-Bhattacharya Laplace distribution

Poiraud-Casanova-Thomas-Agnan Laplace distribution

Beta Gompertz distribution

McGill Laplace distribution

Inverse beta distribution

Beta Gumbel distribution

Inverse exponentiated exponential distribution

Kumaraswamy normal distribution

Nakagami distribution

Reflected gamma distribution

Schabe distribution

Normal distribution

Kumaraswamy Pareto distribution

Beta Pareto distribution

Generalized asymmetric Student's t distribution

Arcsine distribution

Birnbaum-Saunders distribution

Cauchy distribution

Xie distribution

Generalized beta distribution

Beta exponential distribution

Beta Weibull distribution

Frechet distribution

Double Weibull distribution

Generalized logistic III distribution

Beta Frechet distribution

Kumaraswamy half normal distribution

Kumaraswamy Weibull distribution

Exponentiated exponential distribution

Kumaraswamy log-logistic distribution

Generalized logistic distribution

Log Laplace distribution

Laplace distribution

Weibull distribution

Perks distribution

Gumbel distribution

Logistic distribution

Uniform distribution

Burr distribution

Power function I distribution

Exponential distribution

Gumbel II distribution

Generalized logistic IV distribution

Exponential Poisson distribution

Generalized uniform distribution

Generalized Pareto distribution

Burr XII distribution

genpowerweibull

Generalized power Weibull distribution

Log beta distribution

Kumaraswamy gamma distribution

Linear failure rate distribution

Quadratic distribution

Lognormal distribution

Lomax distribution

Power function II distribution

Marshall-Olkin exponential distribution

Marshall-Olkin Weibull distribution

Kumaraswamy Gumbel distribution

Hankin-Lee distribution

Hosking logistic distribution

Tukey-Lambda distribution