VaRES: Computes value at risk and expected shortfall for over 100 parametric distributions
Version 1.0

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.

Package details

AuthorSaralees Nadarajah, Stephen Chan and Emmanuel Afuecheta
Date of publication2013-08-27 08:07:57
MaintainerSaralees Nadarajah <[email protected]>
LicenseGPL (>= 2)
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("VaRES")

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VaRES documentation built on May 29, 2017, 8:27 p.m.