f-kailin/varmonitor: Risk Management Tools: Value-at-Risk Monitor
Estimate the Value-at-Risk and Expected Shortfall according to the parametric and analytical approach under the following assumptions: no time-varying volatility and changes in market variables are following a normal distribution.
Getting started
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Package details |
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| Author | Gatti Riccardo, Lin Francesco |
| Maintainer | Lin Francesco <fkl@francescolin.com> |
| License | GPL-3 |
| Version | 0.1.8 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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