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.
| Version: | 1.0 |
| Depends: | R (≥ 2.15.0) |
| Published: | 2013-08-27 |
| Author: | Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta |
| Maintainer: | Saralees Nadarajah <Saralees.Nadarajah at manchester.ac.uk> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | VaRES results |
| Reference manual: | VaRES.pdf |
| Package source: | VaRES_1.0.tar.gz |
| Windows binaries: | r-devel: VaRES_1.0.zip, r-release: VaRES_1.0.zip, r-oldrel: VaRES_1.0.zip |
| macOS binaries: | r-release: VaRES_1.0.tgz, r-oldrel: VaRES_1.0.tgz |
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