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 |

**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

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
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