VaRES
VaRES: An R package for value at risk and expected shortfall. Value at risk and expected shortfall are the two most popular measures of financial risk. But the available R packages for their computation are limited. Here, we introduce an R contributed package written by the authors. It computes the two measures for over 100 parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.
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References in zbMATH (referenced in 2 articles )
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Sorted by year (- Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An \textttRpackage for value at risk and expected shortfall (2016)
- Gündüz, Fatma F.; Genç, Ali İ.: The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes (2016)