cvar (0.2-0)

Compute Expected Shortfall and Value at Risk for Continuous Distributions.

https://github.com/GeoBosh/cvar
http://cran.r-project.org/web/packages/cvar

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) .

Maintainer: Georgi N. Boshnakov
Author(s): Georgi N. Boshnakov [aut, cre]

License: GPL (>= 2)

Uses: gbutils, Rdpack, PerformanceAnalytics, testthat, covr

Released over 1 year ago.