Paket: r-cran-cvar (0.5-2)

[ Quellcode: r-cran-cvar  ]

GNU R package to Computed Expected Shortfall and Value at Risk

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.

Andere Pakete mit Bezug zu r-cran-cvar

• dep: r-api-4.0

  virtuelles Paket, bereitgestellt durch r-base-core

• dep: r-base-core (>= 4.2.2.20221110-1)

  GNU R - System für statistische Berechnungen und Grafik - Kern

• dep: r-cran-gbutils

  GNU R package for Utilities for Simulation, Plots, And More

• dep: r-cran-rdpack (>= 0.8)

  GNU R update and manipulate Rd documentation objects

• sug: r-cran-fgarch

  GNU R package for financial engineering -- fGarch

• sug: r-cran-performanceanalytics

  Paket nicht verfügbar

• sug: r-cran-testthat

  GNU R testsuite

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