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. See Chan, Nadarajah and Afuecheta (2015)
- Version1.0.2
- R version≥ 2.15.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release04/22/2023
Documentation
Team
Leo Belzile
Saralees Nadarajah
Show author detailsRolesAuthorStephen Chan
Show author detailsRolesAuthorEmmanuel Afuecheta
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- Depends1 package
- Reverse Imports2 packages