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.
|Author||Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta|
|Date of publication||2013-08-27 08:07:57|
|Maintainer||Saralees Nadarajah <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
Install the latest version of this package by entering the following in R:
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.