[ 原始碼： r-cran-cvar ]
套件：r-cran-cvar（0.5-2）
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.
其他與 r-cran-cvar 有關的套件
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- dep: r-api-4.0
- 本虛擬套件由這些套件填實： r-base-core
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- dep: r-base-core (>= 4.2.2.20221110-1)
- GNU R core of statistical computation and graphics system
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- dep: r-cran-gbutils
- GNU R package for Utilities for Simulation, Plots, And More
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- dep: r-cran-rdpack (>= 0.8)
- GNU R update and manipulate Rd documentation objects
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- sug: r-cran-fgarch
- GNU R package for financial engineering -- fGarch
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- sug: r-cran-performanceanalytics
- 套件暫時不可用
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- sug: r-cran-testthat
- GNU R testsuite