VaRES: 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.

Version: 1.0
Depends: R (≥ 2.15.0)
Published: 2013-08-27
Author: Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta
Maintainer: Saralees Nadarajah <Saralees.Nadarajah at manchester.ac.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: VaRES results

Downloads:

Reference manual: VaRES.pdf
Package source: VaRES_1.0.tar.gz
Windows binaries: r-devel: VaRES_1.0.zip, r-release: VaRES_1.0.zip, r-oldrel: VaRES_1.0.zip
OS X El Capitan binaries: r-release: VaRES_1.0.tgz
OS X Mavericks binaries: r-oldrel: VaRES_1.0.tgz

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