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

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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 <Saralees.Nadarajah@manchester.ac.uk>
License
GPL (>= 2)
Version
1.0

View on CRAN

Man pages

aep
Asymmetric exponential power distribution
arcsine
Arcsine distribution
ast
Generalized asymmetric Student's t distribution
asylaplace
Asymmetric Laplace distribution
asypower
Asymmetric power distribution
beard
Beard distribution
betaburr
Beta Burr distribution
betaburr7
Beta Burr XII distribution
betadist
Beta distribution
betaexp
Beta exponential distribution
betafrechet
Beta Frechet distribution
betagompertz
Beta Gompertz distribution
betagumbel
Beta Gumbel distribution
betagumbel2
Beta Gumbel 2 distribution
betalognorm
Beta lognormal distribution
betalomax
Beta Lomax distribution
betanorm
Beta normal distribution
betapareto
Beta Pareto distribution
betaweibull
Beta Weibull distribution
BS
Birnbaum-Saunders distribution
burr
Burr distribution
burr7
Burr XII distribution
Cauchy
Cauchy distribution
chen
Chen distribution
clg
Compound Laplace gamma distribution
compbeta
Complementary beta distribution
dagum
Dagum distribution
dweibull
Double Weibull distribution
expexp
Exponentiated exponential distribution
expext
Exponential extension distribution
expgeo
Exponential geometric distribution
explog
Exponential logarithmic distribution
explogis
Exponentiated logistic distribution
exponential
Exponential distribution
exppois
Exponential Poisson distribution
exppower
Exponential power distribution
expweibull
Exponentiated Weibull distribution
F
F distribution
FR
Freimer distribution
frechet
Frechet distribution
Gamma
Gamma distribution
genbeta
Generalized beta distribution
genbeta2
Generalized beta II distribution
geninvbeta
Generalized inverse beta distribution
genlogis
Generalized logistic distribution
genlogis3
Generalized logistic III distribution
genlogis4
Generalized logistic IV distribution
genpareto
Generalized Pareto distribution
genpowerweibull
Generalized power Weibull distribution
genunif
Generalized uniform distribution
gev
Generalized extreme value distribution
gompertz
Gompertz distribution
gumbel
Gumbel distribution
gumbel2
Gumbel II distribution
halfcauchy
Half Cauchy distribution
halflogis
Half logistic distribution
halfnorm
Half normal distribution
halfT
Half Student's t distribution
HBlaplace
Holla-Bhattacharya Laplace distribution
HL
Hankin-Lee distribution
Hlogis
Hosking logistic distribution
invbeta
Inverse beta distribution
invexpexp
Inverse exponentiated exponential distribution
invgamma
Inverse gamma distribution
kum
Kumaraswamy distribution
kumburr7
Kumaraswamy Burr XII distribution
kumexp
Kumaraswamy exponential distribution
kumgamma
Kumaraswamy gamma distribution
kumgumbel
Kumaraswamy Gumbel distribution
kumhalfnorm
Kumaraswamy half normal distribution
kumloglogis
Kumaraswamy log-logistic distribution
kumnormal
Kumaraswamy normal distribution
kumpareto
Kumaraswamy Pareto distribution
kumweibull
Kumaraswamy Weibull distribution
laplace
Laplace distribution
lfr
Linear failure rate distribution
LNbeta
Libby-Novick beta distribution
logbeta
Log beta distribution
logcauchy
Log Cauchy distribution
loggamma
Log gamma distribution
logisexp
Logistic exponential distribution
logisrayleigh
Logistic Rayleigh distribution
logistic
Logistic distribution
loglaplace
Log Laplace distribution
loglog
Loglog distribution
loglogis
Log-logistic distribution
lognorm
Lognormal distribution
lomax
Lomax distribution
Mlaplace
McGill Laplace distribution
moexp
Marshall-Olkin exponential distribution
moweibull
Marshall-Olkin Weibull distribution
MRbeta
McDonald-Richards beta distribution
nakagami
Nakagami distribution
normal
Normal distribution
pareto
Pareto distribution
paretostable
Pareto positive stable distribution
PCTAlaplace
Poiraud-Casanova-Thomas-Agnan Laplace distribution
perks
Perks distribution
power1
Power function I distribution
power2
Power function II distribution
quad
Quadratic distribution
rgamma
Reflected gamma distribution
RS
Ramberg-Schmeiser distribution
schabe
Schabe distribution
secant
Hyperbolic secant distribution
staceygamma
Stacy distribution
T
Student's t distribution
TL
Tukey-Lambda distribution
TL2
Topp-Leone distribution
triangular
Triangular distribution
tsp
Two sided power distribution
uniform
Uniform distribution
VaRES-package
Computes value at risk and expected shortfall for over 100...
weibull
Weibull distribution
xie
Xie distribution

Files in this package

VaRES
VaRES/NAMESPACE
VaRES/R
VaRES/R/VaRES.R
VaRES/MD5
VaRES/DESCRIPTION
VaRES/man
VaRES/man/genbeta2.Rd
VaRES/man/genlogis4.Rd
VaRES/man/asypower.Rd
VaRES/man/schabe.Rd
VaRES/man/quad.Rd
VaRES/man/expext.Rd
VaRES/man/chen.Rd
VaRES/man/clg.Rd
VaRES/man/genlogis.Rd
VaRES/man/tsp.Rd
VaRES/man/betanorm.Rd
VaRES/man/gompertz.Rd
VaRES/man/invexpexp.Rd
VaRES/man/power2.Rd
VaRES/man/gev.Rd
VaRES/man/betalomax.Rd
VaRES/man/betapareto.Rd
VaRES/man/MRbeta.Rd
VaRES/man/RS.Rd
VaRES/man/kum.Rd
VaRES/man/HBlaplace.Rd
VaRES/man/invbeta.Rd
VaRES/man/burr.Rd
VaRES/man/halfnorm.Rd
VaRES/man/expexp.Rd
VaRES/man/betaburr.Rd
VaRES/man/halfT.Rd
VaRES/man/betagumbel2.Rd
VaRES/man/kumgumbel.Rd
VaRES/man/kumnormal.Rd
VaRES/man/loglaplace.Rd
VaRES/man/logisexp.Rd
VaRES/man/frechet.Rd
VaRES/man/betagumbel.Rd
VaRES/man/HL.Rd
VaRES/man/nakagami.Rd
VaRES/man/LNbeta.Rd
VaRES/man/loglogis.Rd
VaRES/man/halfcauchy.Rd
VaRES/man/betaburr7.Rd
VaRES/man/T.Rd
VaRES/man/burr7.Rd
VaRES/man/logistic.Rd
VaRES/man/PCTAlaplace.Rd
VaRES/man/normal.Rd
VaRES/man/genunif.Rd
VaRES/man/exponential.Rd
VaRES/man/ast.Rd
VaRES/man/logbeta.Rd
VaRES/man/genbeta.Rd
VaRES/man/TL.Rd
VaRES/man/lfr.Rd
VaRES/man/paretostable.Rd
VaRES/man/asylaplace.Rd
VaRES/man/logcauchy.Rd
VaRES/man/TL2.Rd
VaRES/man/secant.Rd
VaRES/man/betalognorm.Rd
VaRES/man/explogis.Rd
VaRES/man/kumexp.Rd
VaRES/man/expweibull.Rd
VaRES/man/lomax.Rd
VaRES/man/kumpareto.Rd
VaRES/man/xie.Rd
VaRES/man/betagompertz.Rd
VaRES/man/laplace.Rd
VaRES/man/betafrechet.Rd
VaRES/man/exppois.Rd
VaRES/man/arcsine.Rd
VaRES/man/gumbel2.Rd
VaRES/man/loglog.Rd
VaRES/man/geninvbeta.Rd
VaRES/man/halflogis.Rd
VaRES/man/moweibull.Rd
VaRES/man/exppower.Rd
VaRES/man/lognorm.Rd
VaRES/man/gumbel.Rd
VaRES/man/moexp.Rd
VaRES/man/explog.Rd
VaRES/man/Gamma.Rd
VaRES/man/uniform.Rd
VaRES/man/logisrayleigh.Rd
VaRES/man/genlogis3.Rd
VaRES/man/rgamma.Rd
VaRES/man/aep.Rd
VaRES/man/beard.Rd
VaRES/man/kumgamma.Rd
VaRES/man/kumweibull.Rd
VaRES/man/dweibull.Rd
VaRES/man/Cauchy.Rd
VaRES/man/dagum.Rd
VaRES/man/kumloglogis.Rd
VaRES/man/betaweibull.Rd
VaRES/man/perks.Rd
VaRES/man/Mlaplace.Rd
VaRES/man/genpareto.Rd
VaRES/man/compbeta.Rd
VaRES/man/betadist.Rd
VaRES/man/genpowerweibull.Rd
VaRES/man/power1.Rd
VaRES/man/invgamma.Rd
VaRES/man/betaexp.Rd
VaRES/man/kumhalfnorm.Rd
VaRES/man/FR.Rd
VaRES/man/F.Rd
VaRES/man/BS.Rd
VaRES/man/pareto.Rd
VaRES/man/VaRES-package.Rd
VaRES/man/expgeo.Rd
VaRES/man/loggamma.Rd
VaRES/man/kumburr7.Rd
VaRES/man/staceygamma.Rd
VaRES/man/weibull.Rd
VaRES/man/triangular.Rd
VaRES/man/Hlogis.Rd