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

[ Source: 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.

Muut pakettiin r-cran-cvar liittyvät paketit

• dep: r-api-4.0

  näennäispaketti, jonka toteuttaa r-base-core

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

  GNU R core of statistical computation and graphics system

• 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

  Paketti ei saatavilla

• sug: r-cran-testthat

  GNU R testsuite

Imuroi r-cran-cvar

Imurointi kaikille saataville arkkitehtuureille

Arkkitehtuuri	Paketin koko	Koko asennettuna	Tiedostot
all	251.6 kt	309.0 kt	[tiedostoluettelo]