An R Package for Value at Risk and Expected Shortfall
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Publication:129979
DOI10.1080/03610918.2014.944658zbMath1349.91001MaRDI QIDQ129979
Saralees Nadarajah, Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah, Stephen Chan, Emmanuel Afuecheta
Publication date: 2 August 2016
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2014.944658
91G70: Statistical methods; risk measures
91-04: Software, source code, etc. for problems pertaining to game theory, economics, and finance
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