cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions

Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile function, distribution function, random number generator or probability density function. ES is also known as Conditional Value at Risk (CVaR). Virtually any continuous distribution can be specified. The functions are vectorized over the arguments. The computations are done directly from the definitions, see e.g. Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.

Package details

AuthorGeorgi N. Boshnakov [aut, cre]
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
Version0.4-0
URL https://github.com/GeoBosh/cvar https://geobosh.github.io/cvar/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("cvar")

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cvar documentation built on May 2, 2019, 2:09 p.m.