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VaRES (version 1.0.2)

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. See Chan, Nadarajah and Afuecheta (2015) for more details.

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Install

install.packages('VaRES')

Monthly Downloads

313

Version

1.0.2

License

GPL (>= 2)

Maintainer

Leo Belzile

Last Published

April 22nd, 2023

Functions in VaRES (1.0.2)