[ Source: r-cran-cvar ]
Package: r-cran-cvar (0.5-2)
Links for r-cran-cvar
Debian Resources:
Download Source Package r-cran-cvar:
Maintainer:
External Resources:
- Homepage [cran.r-project.org]
Similar packages:
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.
Other Packages Related to r-cran-cvar
|
|
|
|
-
- dep: r-api-4.0
- virtual package provided by r-base-core
-
- dep: r-base-core (>= 4.2.2.20221110-1)
- nocciolo del sistema per calcoli e grafici statistici GNU R
-
- 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
- pacchetto GNU R per l'ingegneria finanziaria, fGarch
-
- sug: r-cran-performanceanalytics
- Package not available
-
- sug: r-cran-testthat
- suite di test di GNU R
Download r-cran-cvar
| Architecture | Package Size | Installed Size | Files |
|---|---|---|---|
| all | 251.6 kB | 309.0 kB | [list of files] |