VaRES

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Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions

Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah

Last update: 22 April 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.2

Official website: https://cran.r-project.org/web/packages/VaRES/index.html

Source code repository: https://github.com/cran/VaRES

Cites work

• An \texttt{R} package for value at risk and expected shortfall

Cited In (6)

• dprop
• VaR
• GUIDE
• evt0
• The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
• An \texttt{R} package for value at risk and expected shortfall

This page was built for software: VaRES