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

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.

AuthorSaralees Nadarajah, Stephen Chan and Emmanuel Afuecheta
Date of publication2013-08-27 08:07:57
MaintainerSaralees Nadarajah <Saralees.Nadarajah@manchester.ac.uk>
LicenseGPL (>= 2)
Version1.0

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.