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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) <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.

copied from cf-staging / r-cvar
Type Size Name Uploaded Downloads Labels
conda 273.1 kB | noarch/r-cvar-0.5-r44hc72bb7e_2.conda  4 months and 1 day ago 357 main
conda 271.2 kB | noarch/r-cvar-0.5-r43hc72bb7e_2.conda  4 months and 1 day ago 412 main
conda 271.6 kB | noarch/r-cvar-0.5-r43hc72bb7e_1.conda  1 year and 5 months ago 981 main
conda 271.3 kB | noarch/r-cvar-0.5-r42hc72bb7e_1.conda  1 year and 5 months ago 875 main
conda 276.4 kB | noarch/r-cvar-0.5-r41hc72bb7e_0.tar.bz2  2 years and 17 days ago 1163 main
conda 276.6 kB | noarch/r-cvar-0.5-r42hc72bb7e_0.tar.bz2  2 years and 17 days ago 1179 main

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