Package: VaRES 1.0.2
VaRES: Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function. See Chan, Nadarajah and Afuecheta (2015) <doi:10.1080/03610918.2014.944658> for more details.
Authors:
VaRES_1.0.2.tar.gz
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VaRES_1.0.2.tgz(r-4.4-any)VaRES_1.0.2.tgz(r-4.3-any)
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VaRES.pdf |VaRES.html✨
VaRES/json (API)
| # Install 'VaRES' in R: |
| install.packages('VaRES', repos = c('https://lbelzile.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/lbelzile/vares/issues
Last updated 2 years agofrom:a7654b85cd. Checks:OK: 3 NOTE: 4. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 13 2024 |
| R-4.5-win | NOTE | Oct 13 2024 |
| R-4.5-linux | NOTE | Oct 13 2024 |
| R-4.4-win | NOTE | Oct 13 2024 |
| R-4.4-mac | NOTE | Oct 13 2024 |
| R-4.3-win | OK | Oct 13 2024 |
| R-4.3-mac | OK | Oct 13 2024 |
Exports:daepdarcsinedastdasylaplacedasypowerdbearddbetaburrdbetaburr7dbetadistdbetaexpdbetafrechetdbetagompertzdbetagumbeldbetagumbel2dbetalognormdbetalomaxdbetanormdbetaparetodbetaweibulldBSdburrdburr7dCauchydchendclgdcompbetaddagumddweibulldexpexpdexpextdexpgeodexplogdexplogisdexponentialdexppoisdexppowerdexpweibulldFdfrechetdGammadgenbetadgenbeta2dgeninvbetadgenlogisdgenlogis3dgenlogis4dgenparetodgenpowerweibulldgenunifdgevdgompertzdgumbeldgumbel2dhalfcauchydhalflogisdhalfnormdhalfTdHBlaplacedHlogisdinvbetadinvexpexpdinvgammadkumdkumburr7dkumexpdkumgammadkumgumbeldkumhalfnormdkumloglogisdkumnormaldkumparetodkumweibulldlaplacedlfrdLNbetadlogbetadlogcauchydloggammadlogisexpdlogisrayleighdlogisticdloglaplacedloglogdloglogisdlognormdlomaxdMlaplacedmoexpdmoweibulldMRbetadnakagamidnormaldparetodparetostabledPCTAlaplacedperksdpower1dpower2dquaddrgammadschabedsecantdstacygammadTdTL2dtriangulardtspduniformdWeibulldxieesaepesarcsineesastesasylaplaceesasypoweresbeardesbetaburresbetaburr7esbetadistesbetaexpesbetafrechetesbetagompertzesbetagumbelesbetagumbel2esbetalognormesbetalomaxesbetanormesbetaparetoesbetaweibullesBSesburresburr7esCauchyeschenesclgescompbetaesdagumesdweibullesexpexpesexpextesexpgeoesexplogesexplogisesexponentialesexppoisesexppoweresexpweibullesFesFResfrechetesGammaesgenbetaesgenbeta2esgeninvbetaesgenlogisesgenlogis3esgenlogis4esgenparetoesgenpowerweibullesgenunifesgevesgompertzesgumbelesgumbel2eshalfcauchyeshalflogiseshalfnormeshalfTesHBlaplaceesHLesHlogisesinvbetaesinvexpexpesinvgammaeskumeskumburr7eskumexpeskumgammaeskumgumbeleskumhalfnormeskumloglogiseskumnormaleskumparetoeskumweibulleslaplaceeslfresLNbetaeslogbetaeslogcauchyesloggammaeslogisexpeslogisrayleigheslogisticesloglaplaceesloglogesloglogiseslognormeslomaxesMlaplaceesmoexpesmoweibullesMRbetaesnakagamiesnormalesparetoesparetostableesPCTAlaplaceesperksespower1espower2esquadesrgammaesRSesschabeessecantesstacygammaesTesTLesTL2estriangularestspesuniformesWeibullesxiepaepparcsinepastpasylaplacepasypowerpbeardpbetaburrpbetaburr7pbetadistpbetaexppbetafrechetpbetagompertzpbetagumbelpbetagumbel2pbetalognormpbetalomaxpbetanormpbetaparetopbetaweibullpBSpburrpburr7pCauchypchenpclgpcompbetapdagumpdweibullpexpexppexpextpexpgeopexplogpexplogispexponentialpexppoispexppowerpexpweibullpFpfrechetpGammapgenbetapgenbeta2pgeninvbetapgenlogispgenlogis3pgenlogis4pgenparetopgenpowerweibullpgenunifpgevpgompertzpgumbelpgumbel2phalfcauchyphalflogisphalfnormphalfTpHBlaplacepHlogispinvbetapinvexpexppinvgammapkumpkumburr7pkumexppkumgammapkumgumbelpkumhalfnormpkumloglogispkumnormalpkumparetopkumweibullplaplaceplfrpLNbetaplogbetaplogcauchyploggammaplogisexpplogisrayleighplogisticploglaplaceploglogploglogisplognormplomaxpMlaplacepmoexppmoweibullpMRbetapnakagamipnormalpparetopparetostablepPCTAlaplacepperksppower1ppower2pquadprgammapschabepsecantpstacygammapTpTL2ptriangularptsppuniformpWeibullpxievaraepvararcsinevarastvarasylaplacevarasypowervarbeardvarbetaburrvarbetaburr7varbetadistvarbetaexpvarbetafrechetvarbetagompertzvarbetagumbelvarbetagumbel2varbetalognormvarbetalomaxvarbetanormvarbetaparetovarbetaweibullvarBSvarburrvarburr7varCauchyvarchenvarclgvarcompbetavardagumvardweibullvarexpexpvarexpextvarexpgeovarexplogvarexplogisvarexponentialvarexppoisvarexppowervarexpweibullvarFvarFRvarfrechetvarGammavargenbetavargenbeta2vargeninvbetavargenlogisvargenlogis3vargenlogis4vargenparetovargenpowerweibullvargenunifvargevvargompertzvargumbelvargumbel2varhalfcauchyvarhalflogisvarhalfnormvarhalfTvarHBlaplacevarHLvarHlogisvarinvbetavarinvexpexpvarinvgammavarkumvarkumburr7varkumexpvarkumgammavarkumgumbelvarkumhalfnormvarkumloglogisvarkumnormalvarkumparetovarkumweibullvarlaplacevarlfrvarLNbetavarlogbetavarlogcauchyvarloggammavarlogisexpvarlogisrayleighvarlogisticvarloglaplacevarloglogvarloglogisvarlognormvarlomaxvarMlaplacevarmoexpvarmoweibullvarMRbetavarnakagamivarnormalvarparetovarparetostablevarPCTAlaplacevarperksvarpower1varpower2varquadvarrgammavarRSvarschabevarsecantvarstacygammavarTvarTLvarTL2vartriangularvartspvaruniformvarWeibullvarxie
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Computes value at risk and expected shortfall for over 100 parametric distributions | VaRES-package VaRES |
| Asymmetric exponential power distribution | daep esaep paep varaep |
| Arcsine distribution | darcsine esarcsine parcsine vararcsine |
| Generalized asymmetric Student's t distribution | dast esast past varast |
| Asymmetric Laplace distribution | dasylaplace esasylaplace pasylaplace varasylaplace |
| Asymmetric power distribution | dasypower esasypower pasypower varasypower |
| Beard distribution | dbeard esbeard pbeard varbeard |
| Beta Burr distribution | dbetaburr esbetaburr pbetaburr varbetaburr |
| Beta Burr XII distribution | dbetaburr7 esbetaburr7 pbetaburr7 varbetaburr7 |
| Beta distribution | dbetadist esbetadist pbetadist varbetadist |
| Beta exponential distribution | dbetaexp esbetaexp pbetaexp varbetaexp |
| Beta Frechet distribution | dbetafrechet esbetafrechet pbetafrechet varbetafrechet |
| Beta Gompertz distribution | dbetagompertz esbetagompertz pbetagompertz varbetagompertz |
| Beta Gumbel distribution | dbetagumbel esbetagumbel pbetagumbel varbetagumbel |
| Beta Gumbel 2 distribution | dbetagumbel2 esbetagumbel2 pbetagumbel2 varbetagumbel2 |
| Beta lognormal distribution | dbetalognorm esbetalognorm pbetalognorm varbetalognorm |
| Beta Lomax distribution | dbetalomax esbetalomax pbetalomax varbetalomax |
| Beta normal distribution | dbetanorm esbetanorm pbetanorm varbetanorm |
| Beta Pareto distribution | dbetapareto esbetapareto pbetapareto varbetapareto |
| Beta Weibull distribution | dbetaweibull esbetaweibull pbetaweibull varbetaweibull |
| Birnbaum-Saunders distribution | dBS esBS pBS varBS |
| Burr distribution | dburr esburr pburr varburr |
| Burr XII distribution | dburr7 esburr7 pburr7 varburr7 |
| Cauchy distribution | dCauchy esCauchy pCauchy varCauchy |
| Chen distribution | dchen eschen pchen varchen |
| Compound Laplace gamma distribution | dclg esclg pclg varclg |
| Complementary beta distribution | dcompbeta escompbeta pcompbeta varcompbeta |
| Dagum distribution | ddagum esdagum pdagum vardagum |
| Double Weibull distribution | ddweibull esdweibull pdweibull vardweibull |
| Exponentiated exponential distribution | dexpexp esexpexp pexpexp varexpexp |
| Exponential extension distribution | dexpext esexpext pexpext varexpext |
| Exponential geometric distribution | dexpgeo esexpgeo pexpgeo varexpgeo |
| Exponential logarithmic distribution | dexplog esexplog pexplog varexplog |
| Exponentiated logistic distribution | dexplogis esexplogis pexplogis varexplogis |
| Exponential distribution | dexponential esexponential pexponential varexponential |
| Exponential Poisson distribution | dexppois esexppois pexppois varexppois |
| Exponential power distribution | dexppower esexppower pexppower varexppower |
| Exponentiated Weibull distribution | dexpweibull esexpweibull pexpweibull varexpweibull |
| F distribution | dF esF pF varF |
| Freimer distribution | esFR varFR |
| Frechet distribution | dfrechet esfrechet pfrechet varfrechet |
| Gamma distribution | dGamma esGamma pGamma varGamma |
| Generalized beta distribution | dgenbeta esgenbeta pgenbeta vargenbeta |
| Generalized beta II distribution | dgenbeta2 esgenbeta2 pgenbeta2 vargenbeta2 |
| Generalized inverse beta distribution | dgeninvbeta esgeninvbeta pgeninvbeta vargeninvbeta |
| Generalized logistic distribution | dgenlogis esgenlogis pgenlogis vargenlogis |
| Generalized logistic III distribution | dgenlogis3 esgenlogis3 pgenlogis3 vargenlogis3 |
| Generalized logistic IV distribution | dgenlogis4 esgenlogis4 pgenlogis4 vargenlogis4 |
| Generalized Pareto distribution | dgenpareto esgenpareto pgenpareto vargenpareto |
| Generalized power Weibull distribution | dgenpowerweibull esgenpowerweibull pgenpowerweibull vargenpowerweibull |
| Generalized uniform distribution | dgenunif esgenunif pgenunif vargenunif |
| Generalized extreme value distribution | dgev esgev pgev vargev |
| Gompertz distribution | dgompertz esgompertz pgompertz vargompertz |
| Gumbel distribution | dgumbel esgumbel pgumbel vargumbel |
| Gumbel II distribution | dgumbel2 esgumbel2 pgumbel2 vargumbel2 |
| Half Cauchy distribution | dhalfcauchy eshalfcauchy phalfcauchy varhalfcauchy |
| Half logistic distribution | dhalflogis eshalflogis phalflogis varhalflogis |
| Half normal distribution | dhalfnorm eshalfnorm phalfnorm varhalfnorm |
| Half Student's t distribution | dhalfT eshalfT phalfT varhalfT |
| Holla-Bhattacharya Laplace distribution | dHBlaplace esHBlaplace pHBlaplace varHBlaplace |
| Hankin-Lee distribution | esHL varHL |
| Hosking logistic distribution | dHlogis esHlogis pHlogis varHlogis |
| Inverse beta distribution | dinvbeta esinvbeta pinvbeta varinvbeta |
| Inverse exponentiated exponential distribution | dinvexpexp esinvexpexp pinvexpexp varinvexpexp |
| Inverse gamma distribution | dinvgamma esinvgamma pinvgamma varinvgamma |
| Kumaraswamy distribution | dkum eskum pkum varkum |
| Kumaraswamy Burr XII distribution | dkumburr7 eskumburr7 pkumburr7 varkumburr7 |
| Kumaraswamy exponential distribution | dkumexp eskumexp pkumexp varkumexp |
| Kumaraswamy gamma distribution | dkumgamma eskumgamma pkumgamma varkumgamma |
| Kumaraswamy Gumbel distribution | dkumgumbel eskumgumbel pkumgumbel varkumgumbel |
| Kumaraswamy half normal distribution | dkumhalfnorm eskumhalfnorm pkumhalfnorm varkumhalfnorm |
| Kumaraswamy log-logistic distribution | dkumloglogis eskumloglogis pkumloglogis varkumloglogis |
| Kumaraswamy normal distribution | dkumnormal eskumnormal pkumnormal varkumnormal |
| Kumaraswamy Pareto distribution | dkumpareto eskumpareto pkumpareto varkumpareto |
| Kumaraswamy Weibull distribution | dkumweibull eskumweibull pkumweibull varkumweibull |
| Laplace distribution | dlaplace eslaplace plaplace varlaplace |
| Linear failure rate distribution | dlfr eslfr plfr varlfr |
| Libby-Novick beta distribution | dLNbeta esLNbeta pLNbeta varLNbeta |
| Log beta distribution | dlogbeta eslogbeta plogbeta varlogbeta |
| Log Cauchy distribution | dlogcauchy eslogcauchy plogcauchy varlogcauchy |
| Log gamma distribution | dloggamma esloggamma ploggamma varloggamma |
| Logistic exponential distribution | dlogisexp eslogisexp plogisexp varlogisexp |
| Logistic Rayleigh distribution | dlogisrayleigh eslogisrayleigh plogisrayleigh varlogisrayleigh |
| Logistic distribution | dlogistic eslogistic plogistic varlogistic |
| Log Laplace distribution | dloglaplace esloglaplace ploglaplace varloglaplace |
| Loglog distribution | dloglog esloglog ploglog varloglog |
| Log-logistic distribution | dloglogis esloglogis ploglogis varloglogis |
| Lognormal distribution | dlognorm eslognorm plognorm varlognorm |
| Lomax distribution | dlomax eslomax plomax varlomax |
| McGill Laplace distribution | dMlaplace esMlaplace pMlaplace varMlaplace |
| Marshall-Olkin exponential distribution | dmoexp esmoexp pmoexp varmoexp |
| Marshall-Olkin Weibull distribution | dmoweibull esmoweibull pmoweibull varmoweibull |
| McDonald-Richards beta distribution | dMRbeta esMRbeta pMRbeta varMRbeta |
| Nakagami distribution | dnakagami esnakagami pnakagami varnakagami |
| Normal distribution | dnormal esnormal pnormal varnormal |
| Pareto distribution | dpareto espareto ppareto varpareto |
| Pareto positive stable distribution | dparetostable esparetostable pparetostable varparetostable |
| Poiraud-Casanova-Thomas-Agnan Laplace distribution | dPCTAlaplace esPCTAlaplace pPCTAlaplace varPCTAlaplace |
| Perks distribution | dperks esperks pperks varperks |
| Power function I distribution | dpower1 espower1 ppower1 varpower1 |
| Power function II distribution | dpower2 espower2 ppower2 varpower2 |
| Quadratic distribution | dquad esquad pquad varquad |
| Reflected gamma distribution | drgamma esrgamma prgamma varrgamma |
| Ramberg-Schmeiser distribution | esRS varRS |
| Schabe distribution | dschabe esschabe pschabe varschabe |
| Hyperbolic secant distribution | dsecant essecant psecant varsecant |
| Stacy distribution | dstacygamma esstacygamma pstacygamma varstacygamma |
| Student's t distribution | dT esT pT varT |
| Tukey-Lambda distribution | esTL varTL |
| Topp-Leone distribution | dTL2 esTL2 pTL2 varTL2 |
| Triangular distribution | dtriangular estriangular ptriangular vartriangular |
| Two sided power distribution | dtsp estsp ptsp vartsp |
| Uniform distribution | duniform esuniform puniform varuniform |
| Weibull distribution | dWeibull esWeibull pWeibull varWeibull |
| Xie distribution | dxie esxie pxie varxie |
