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

Functions

daep Man page
darcsine Man page
dast Man page
dasylaplace Man page
dasypower Man page
dbeard Man page
dbetaburr Man page
dbetaburr7 Man page
dbetadist Man page
dbetaexp Man page
dbetafrechet Man page
dbetagompertz Man page
dbetagumbel Man page
dbetagumbel2 Man page
dbetalognorm Man page
dbetalomax Man page
dbetanorm Man page
dbetapareto Man page
dbetaweibull Man page
dBS Man page
dburr Man page
dburr7 Man page
dCauchy Man page
dchen Man page
dclg Man page
dcompbeta Man page
ddagum Man page
ddweibull Man page
dexpexp Man page
dexpext Man page
dexpgeo Man page
dexplog Man page
dexplogis Man page
dexponential Man page
dexppois Man page
dexppower Man page
dexpweibull Man page
dF Man page
dfrechet Man page
dGamma Man page
dgenbeta Man page
dgenbeta2 Man page
dgeninvbeta Man page
dgenlogis Man page
dgenlogis3 Man page
dgenlogis4 Man page
dgenpareto Man page
dgenpowerweibull Man page
dgenunif Man page
dgev Man page
dgompertz Man page
dgumbel Man page
dgumbel2 Man page
dhalfcauchy Man page
dhalflogis Man page
dhalfnorm Man page
dhalfT Man page
dHBlaplace Man page
dHlogis Man page
dinvbeta Man page
dinvexpexp Man page
dinvgamma Man page
dkum Man page
dkumburr7 Man page
dkumexp Man page
dkumgamma Man page
dkumgumbel Man page
dkumhalfnorm Man page
dkumloglogis Man page
dkumnormal Man page
dkumpareto Man page
dkumweibull Man page
dlaplace Man page
dlfr Man page
dLNbeta Man page
dlogbeta Man page
dlogcauchy Man page
dloggamma Man page
dlogisexp Man page
dlogisrayleigh Man page
dlogistic Man page
dloglaplace Man page
dloglog Man page
dloglogis Man page
dlognorm Man page
dlomax Man page
dMlaplace Man page
dmoexp Man page
dmoweibull Man page
dMRbeta Man page
dnakagami Man page
dnormal Man page
dpareto Man page
dparetostable Man page
dPCTAlaplace Man page
dperks Man page
dpower1 Man page
dpower2 Man page
dquad Man page
drgamma Man page
dschabe Man page
dsecant Man page
dstacygamma Man page
dT Man page
dTL2 Man page
dtriangular Man page
dtsp Man page
duniform Man page
dWeibull Man page
dxie Man page
esaep Man page
esarcsine Man page
esast Man page
esasylaplace Man page
esasypower Man page
esbeard Man page
esbetaburr Man page
esbetaburr7 Man page
esbetadist Man page
esbetaexp Man page
esbetafrechet Man page
esbetagompertz Man page
esbetagumbel Man page
esbetagumbel2 Man page
esbetalognorm Man page
esbetalomax Man page
esbetanorm Man page
esbetapareto Man page
esbetaweibull Man page
esBS Man page
esburr Man page
esburr7 Man page
esCauchy Man page
eschen Man page
esclg Man page
escompbeta Man page
esdagum Man page
esdweibull Man page
esexpexp Man page
esexpext Man page
esexpgeo Man page
esexplog Man page
esexplogis Man page
esexponential Man page
esexppois Man page
esexppower Man page
esexpweibull Man page
esF Man page
esFR Man page
esfrechet Man page
esGamma Man page
esgenbeta Man page
esgenbeta2 Man page
esgeninvbeta Man page
esgenlogis Man page
esgenlogis3 Man page
esgenlogis4 Man page
esgenpareto Man page
esgenpowerweibull Man page
esgenunif Man page
esgev Man page
esgompertz Man page
esgumbel Man page
esgumbel2 Man page
eshalfcauchy Man page
eshalflogis Man page
eshalfnorm Man page
eshalfT Man page
esHBlaplace Man page
esHL Man page
esHlogis Man page
esinvbeta Man page
esinvexpexp Man page
esinvgamma Man page
eskum Man page
eskumburr7 Man page
eskumexp Man page
eskumgamma Man page
eskumgumbel Man page
eskumhalfnorm Man page
eskumloglogis Man page
eskumnormal Man page
eskumpareto Man page
eskumweibull Man page
eslaplace Man page
eslfr Man page
esLNbeta Man page
eslogbeta Man page
eslogcauchy Man page
esloggamma Man page
eslogisexp Man page
eslogisrayleigh Man page
eslogistic Man page
esloglaplace Man page
esloglog Man page
esloglogis Man page
eslognorm Man page
eslomax Man page
esMlaplace Man page
esmoexp Man page
esmoweibull Man page
esMRbeta Man page
esnakagami Man page
esnormal Man page
espareto Man page
esparetostable Man page
esPCTAlaplace Man page
esperks Man page
espower1 Man page
espower2 Man page
esquad Man page
esrgamma Man page
esRS Man page
esschabe Man page
essecant Man page
esstacygamma Man page
esT Man page
esTL Man page
esTL2 Man page
estriangular Man page
estsp Man page
esuniform Man page
esWeibull Man page
esxie Man page
paep Man page
parcsine Man page
past Man page
pasylaplace Man page
pasypower Man page
pbeard Man page
pbetaburr Man page
pbetaburr7 Man page
pbetadist Man page
pbetaexp Man page
pbetafrechet Man page
pbetagompertz Man page
pbetagumbel Man page
pbetagumbel2 Man page
pbetalognorm Man page
pbetalomax Man page
pbetanorm Man page
pbetapareto Man page
pbetaweibull Man page
pBS Man page
pburr Man page
pburr7 Man page
pCauchy Man page
pchen Man page
pclg Man page
pcompbeta Man page
pdagum Man page
pdweibull Man page
pexpexp Man page
pexpext Man page
pexpgeo Man page
pexplog Man page
pexplogis Man page
pexponential Man page
pexppois Man page
pexppower Man page
pexpweibull Man page
pF Man page
pfrechet Man page
pGamma Man page
pgenbeta Man page
pgenbeta2 Man page
pgeninvbeta Man page
pgenlogis Man page
pgenlogis3 Man page
pgenlogis4 Man page
pgenpareto Man page
pgenpowerweibull Man page
pgenunif Man page
pgev Man page
pgompertz Man page
pgumbel Man page
pgumbel2 Man page
phalfcauchy Man page
phalflogis Man page
phalfnorm Man page
phalfT Man page
pHBlaplace Man page
pHlogis Man page
pinvbeta Man page
pinvexpexp Man page
pinvgamma Man page
pkum Man page
pkumburr7 Man page
pkumexp Man page
pkumgamma Man page
pkumgumbel Man page
pkumhalfnorm Man page
pkumloglogis Man page
pkumnormal Man page
pkumpareto Man page
pkumweibull Man page
plaplace Man page
plfr Man page
pLNbeta Man page
plogbeta Man page
plogcauchy Man page
ploggamma Man page
plogisexp Man page
plogisrayleigh Man page
plogistic Man page
ploglaplace Man page
ploglog Man page
ploglogis Man page
plognorm Man page
plomax Man page
pMlaplace Man page
pmoexp Man page
pmoweibull Man page
pMRbeta Man page
pnakagami Man page
pnormal Man page
ppareto Man page
pparetostable Man page
pPCTAlaplace Man page
pperks Man page
ppower1 Man page
ppower2 Man page
pquad Man page
prgamma Man page
pschabe Man page
psecant Man page
pstacygamma Man page
pT Man page
pTL2 Man page
ptriangular Man page
ptsp Man page
puniform Man page
pWeibull Man page
pxie Man page
varaep Man page
vararcsine Man page
varast Man page
varasylaplace Man page
varasypower Man page
varbeard Man page
varbetaburr Man page
varbetaburr7 Man page
varbetadist Man page
varbetaexp Man page
varbetafrechet Man page
varbetagompertz Man page
varbetagumbel Man page
varbetagumbel2 Man page
varbetalognorm Man page
varbetalomax Man page
varbetanorm Man page
varbetapareto Man page
varbetaweibull Man page
varBS Man page
varburr Man page
varburr7 Man page
varCauchy Man page
varchen Man page
varclg Man page
varcompbeta Man page
vardagum Man page
vardweibull Man page
VaRES Man page
VaRES-package Man page
varexpexp Man page
varexpext Man page
varexpgeo Man page
varexplog Man page
varexplogis Man page
varexponential Man page
varexppois Man page
varexppower Man page
varexpweibull Man page
varF Man page
varFR Man page
varfrechet Man page
varGamma Man page
vargenbeta Man page
vargenbeta2 Man page
vargeninvbeta Man page
vargenlogis Man page
vargenlogis3 Man page
vargenlogis4 Man page
vargenpareto Man page
vargenpowerweibull Man page
vargenunif Man page
vargev Man page
vargompertz Man page
vargumbel Man page
vargumbel2 Man page
varhalfcauchy Man page
varhalflogis Man page
varhalfnorm Man page
varhalfT Man page
varHBlaplace Man page
varHL Man page
varHlogis Man page
varinvbeta Man page
varinvexpexp Man page
varinvgamma Man page
varkum Man page
varkumburr7 Man page
varkumexp Man page
varkumgamma Man page
varkumgumbel Man page
varkumhalfnorm Man page
varkumloglogis Man page
varkumnormal Man page
varkumpareto Man page
varkumweibull Man page
varlaplace Man page
varlfr Man page
varLNbeta Man page
varlogbeta Man page
varlogcauchy Man page
varloggamma Man page
varlogisexp Man page
varlogisrayleigh Man page
varlogistic Man page
varloglaplace Man page
varloglog Man page
varloglogis Man page
varlognorm Man page
varlomax Man page
varMlaplace Man page
varmoexp Man page
varmoweibull Man page
varMRbeta Man page
varnakagami Man page
varnormal Man page
varpareto Man page
varparetostable Man page
varPCTAlaplace Man page
varperks Man page
varpower1 Man page
varpower2 Man page
varquad Man page
varrgamma Man page
varRS Man page
varschabe Man page
varsecant Man page
varstacygamma Man page
varT Man page
varTL Man page
varTL2 Man page
vartriangular Man page
vartsp Man page
varuniform Man page
varWeibull Man page
varxie Man page

Files

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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