Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions

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) for more details.


Reference manual

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install.packages("VaRES")

1.0.2 by Leo Belzile, 3 years ago


Report a bug at https://github.com/lbelzile/VaRES/issues/


Browse source code at https://github.com/cran/VaRES


Authors: Leo Belzile [cre] , Saralees Nadarajah [aut] , Stephen Chan [aut] , Emmanuel Afuecheta [aut]


Documentation:   PDF Manual  


GPL (>= 2) license



Imported by GenHMM1d, dprop, shannon.


See at CRAN