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VaRES  

Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
View on CRAN: Click here


Download and install VaRES package within the R console
Install from CRAN:
install.packages("VaRES")

Install from Github:
library("remotes")
install_github("cran/VaRES")

Install by package version:
library("remotes")
install_version("VaRES", "1.0.2")



Attach the package and use:
library("VaRES")
Maintained by
Leo Belzile
[Scholar Profile | Author Map]
First Published: 2013-08-27
Latest Update: 2023-04-22
Description:
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.
How to cite:
Leo Belzile (2013). VaRES: Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions. R package version 1.0.2, https://cran.r-project.org/web/packages/VaRES. Accessed 23 Feb. 2025.
Previous versions and publish date:
1.0.1 (2022-06-23 09:18), 1.0 (2013-08-27 08:08)
Other packages that cited VaRES R package
View VaRES citation profile
Other R packages that VaRES depends, imports, suggests or enhances
Complete documentation for VaRES
Functions, R codes and Examples using the VaRES R package
Full VaRES package functions and examples
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