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) <doi:10.1080/03610918.2014.944658> for more details.

Version:	1.0.2
Depends:	R (≥ 2.15.0)
Published:	2023-04-22
DOI:	10.32614/CRAN.package.VaRES
Author:	Leo Belzile [cre], Saralees Nadarajah [aut], Stephen Chan [aut], Emmanuel Afuecheta [aut]
Maintainer:	Leo Belzile <belzilel at gmail.com>
BugReports:	https://github.com/lbelzile/VaRES/issues/
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	no
In views:	Finance
CRAN checks:	VaRES results

Documentation:

Reference manual:

VaRES.pdf

Downloads:

Package source:	VaRES_1.0.2.tar.gz
Windows binaries:	r-devel: VaRES_1.0.2.zip, r-release: VaRES_1.0.2.zip, r-oldrel: VaRES_1.0.2.zip
macOS binaries:	r-release (arm64): VaRES_1.0.2.tgz, r-oldrel (arm64): VaRES_1.0.2.tgz, r-release (x86_64): VaRES_1.0.2.tgz, r-oldrel (x86_64): VaRES_1.0.2.tgz
Old sources:	VaRES archive

Reverse dependencies:

Reverse imports:

dprop, shannon

Linking:

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