Пакет: r-cran-cvar (0.5-2)

[ Источник: 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.

Другие пакеты, относящиеся к r-cran-cvar

• dep: r-api-4.0

  виртуальный пакет, предоставляемый 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

  Пакет недоступен

• sug: r-cran-testthat

  GNU R testsuite

Загрузка r-cran-cvar

Загрузить для всех доступных архитектур

Архитектура	Размер пакета	В установленном виде	Файлы
all	251,6 Кб	309,0 Кб	[список файлов]