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:Leo Belzile [cre], Saralees Nadarajah [aut], Stephen Chan [aut], Emmanuel Afuecheta [aut]

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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'))

Peer review:

Bug tracker:https://github.com/lbelzile/vares/issues

On CRAN:

4.57 score 1 stars 2 packages 123 scripts 289 downloads 1 mentions 448 exports 0 dependencies

Last updated 2 years agofrom:a7654b85cd. Checks:OK: 3 NOTE: 4. Indexed: yes.

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Doc / VignettesOKNov 12 2024
R-4.5-winNOTENov 12 2024
R-4.5-linuxNOTENov 12 2024
R-4.4-winNOTENov 12 2024
R-4.4-macNOTENov 12 2024
R-4.3-winOKNov 12 2024
R-4.3-macOKNov 12 2024

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Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Computes value at risk and expected shortfall for over 100 parametric distributionsVaRES-package VaRES
Asymmetric exponential power distributiondaep esaep paep varaep
Arcsine distributiondarcsine esarcsine parcsine vararcsine
Generalized asymmetric Student's t distributiondast esast past varast
Asymmetric Laplace distributiondasylaplace esasylaplace pasylaplace varasylaplace
Asymmetric power distributiondasypower esasypower pasypower varasypower
Beard distributiondbeard esbeard pbeard varbeard
Beta Burr distributiondbetaburr esbetaburr pbetaburr varbetaburr
Beta Burr XII distributiondbetaburr7 esbetaburr7 pbetaburr7 varbetaburr7
Beta distributiondbetadist esbetadist pbetadist varbetadist
Beta exponential distributiondbetaexp esbetaexp pbetaexp varbetaexp
Beta Frechet distributiondbetafrechet esbetafrechet pbetafrechet varbetafrechet
Beta Gompertz distributiondbetagompertz esbetagompertz pbetagompertz varbetagompertz
Beta Gumbel distributiondbetagumbel esbetagumbel pbetagumbel varbetagumbel
Beta Gumbel 2 distributiondbetagumbel2 esbetagumbel2 pbetagumbel2 varbetagumbel2
Beta lognormal distributiondbetalognorm esbetalognorm pbetalognorm varbetalognorm
Beta Lomax distributiondbetalomax esbetalomax pbetalomax varbetalomax
Beta normal distributiondbetanorm esbetanorm pbetanorm varbetanorm
Beta Pareto distributiondbetapareto esbetapareto pbetapareto varbetapareto
Beta Weibull distributiondbetaweibull esbetaweibull pbetaweibull varbetaweibull
Birnbaum-Saunders distributiondBS esBS pBS varBS
Burr distributiondburr esburr pburr varburr
Burr XII distributiondburr7 esburr7 pburr7 varburr7
Cauchy distributiondCauchy esCauchy pCauchy varCauchy
Chen distributiondchen eschen pchen varchen
Compound Laplace gamma distributiondclg esclg pclg varclg
Complementary beta distributiondcompbeta escompbeta pcompbeta varcompbeta
Dagum distributionddagum esdagum pdagum vardagum
Double Weibull distributionddweibull esdweibull pdweibull vardweibull
Exponentiated exponential distributiondexpexp esexpexp pexpexp varexpexp
Exponential extension distributiondexpext esexpext pexpext varexpext
Exponential geometric distributiondexpgeo esexpgeo pexpgeo varexpgeo
Exponential logarithmic distributiondexplog esexplog pexplog varexplog
Exponentiated logistic distributiondexplogis esexplogis pexplogis varexplogis
Exponential distributiondexponential esexponential pexponential varexponential
Exponential Poisson distributiondexppois esexppois pexppois varexppois
Exponential power distributiondexppower esexppower pexppower varexppower
Exponentiated Weibull distributiondexpweibull esexpweibull pexpweibull varexpweibull
F distributiondF esF pF varF
Freimer distributionesFR varFR
Frechet distributiondfrechet esfrechet pfrechet varfrechet
Gamma distributiondGamma esGamma pGamma varGamma
Generalized beta distributiondgenbeta esgenbeta pgenbeta vargenbeta
Generalized beta II distributiondgenbeta2 esgenbeta2 pgenbeta2 vargenbeta2
Generalized inverse beta distributiondgeninvbeta esgeninvbeta pgeninvbeta vargeninvbeta
Generalized logistic distributiondgenlogis esgenlogis pgenlogis vargenlogis
Generalized logistic III distributiondgenlogis3 esgenlogis3 pgenlogis3 vargenlogis3
Generalized logistic IV distributiondgenlogis4 esgenlogis4 pgenlogis4 vargenlogis4
Generalized Pareto distributiondgenpareto esgenpareto pgenpareto vargenpareto
Generalized power Weibull distributiondgenpowerweibull esgenpowerweibull pgenpowerweibull vargenpowerweibull
Generalized uniform distributiondgenunif esgenunif pgenunif vargenunif
Generalized extreme value distributiondgev esgev pgev vargev
Gompertz distributiondgompertz esgompertz pgompertz vargompertz
Gumbel distributiondgumbel esgumbel pgumbel vargumbel
Gumbel II distributiondgumbel2 esgumbel2 pgumbel2 vargumbel2
Half Cauchy distributiondhalfcauchy eshalfcauchy phalfcauchy varhalfcauchy
Half logistic distributiondhalflogis eshalflogis phalflogis varhalflogis
Half normal distributiondhalfnorm eshalfnorm phalfnorm varhalfnorm
Half Student's t distributiondhalfT eshalfT phalfT varhalfT
Holla-Bhattacharya Laplace distributiondHBlaplace esHBlaplace pHBlaplace varHBlaplace
Hankin-Lee distributionesHL varHL
Hosking logistic distributiondHlogis esHlogis pHlogis varHlogis
Inverse beta distributiondinvbeta esinvbeta pinvbeta varinvbeta
Inverse exponentiated exponential distributiondinvexpexp esinvexpexp pinvexpexp varinvexpexp
Inverse gamma distributiondinvgamma esinvgamma pinvgamma varinvgamma
Kumaraswamy distributiondkum eskum pkum varkum
Kumaraswamy Burr XII distributiondkumburr7 eskumburr7 pkumburr7 varkumburr7
Kumaraswamy exponential distributiondkumexp eskumexp pkumexp varkumexp
Kumaraswamy gamma distributiondkumgamma eskumgamma pkumgamma varkumgamma
Kumaraswamy Gumbel distributiondkumgumbel eskumgumbel pkumgumbel varkumgumbel
Kumaraswamy half normal distributiondkumhalfnorm eskumhalfnorm pkumhalfnorm varkumhalfnorm
Kumaraswamy log-logistic distributiondkumloglogis eskumloglogis pkumloglogis varkumloglogis
Kumaraswamy normal distributiondkumnormal eskumnormal pkumnormal varkumnormal
Kumaraswamy Pareto distributiondkumpareto eskumpareto pkumpareto varkumpareto
Kumaraswamy Weibull distributiondkumweibull eskumweibull pkumweibull varkumweibull
Laplace distributiondlaplace eslaplace plaplace varlaplace
Linear failure rate distributiondlfr eslfr plfr varlfr
Libby-Novick beta distributiondLNbeta esLNbeta pLNbeta varLNbeta
Log beta distributiondlogbeta eslogbeta plogbeta varlogbeta
Log Cauchy distributiondlogcauchy eslogcauchy plogcauchy varlogcauchy
Log gamma distributiondloggamma esloggamma ploggamma varloggamma
Logistic exponential distributiondlogisexp eslogisexp plogisexp varlogisexp
Logistic Rayleigh distributiondlogisrayleigh eslogisrayleigh plogisrayleigh varlogisrayleigh
Logistic distributiondlogistic eslogistic plogistic varlogistic
Log Laplace distributiondloglaplace esloglaplace ploglaplace varloglaplace
Loglog distributiondloglog esloglog ploglog varloglog
Log-logistic distributiondloglogis esloglogis ploglogis varloglogis
Lognormal distributiondlognorm eslognorm plognorm varlognorm
Lomax distributiondlomax eslomax plomax varlomax
McGill Laplace distributiondMlaplace esMlaplace pMlaplace varMlaplace
Marshall-Olkin exponential distributiondmoexp esmoexp pmoexp varmoexp
Marshall-Olkin Weibull distributiondmoweibull esmoweibull pmoweibull varmoweibull
McDonald-Richards beta distributiondMRbeta esMRbeta pMRbeta varMRbeta
Nakagami distributiondnakagami esnakagami pnakagami varnakagami
Normal distributiondnormal esnormal pnormal varnormal
Pareto distributiondpareto espareto ppareto varpareto
Pareto positive stable distributiondparetostable esparetostable pparetostable varparetostable
Poiraud-Casanova-Thomas-Agnan Laplace distributiondPCTAlaplace esPCTAlaplace pPCTAlaplace varPCTAlaplace
Perks distributiondperks esperks pperks varperks
Power function I distributiondpower1 espower1 ppower1 varpower1
Power function II distributiondpower2 espower2 ppower2 varpower2
Quadratic distributiondquad esquad pquad varquad
Reflected gamma distributiondrgamma esrgamma prgamma varrgamma
Ramberg-Schmeiser distributionesRS varRS
Schabe distributiondschabe esschabe pschabe varschabe
Hyperbolic secant distributiondsecant essecant psecant varsecant
Stacy distributiondstacygamma esstacygamma pstacygamma varstacygamma
Student's t distributiondT esT pT varT
Tukey-Lambda distributionesTL varTL
Topp-Leone distributiondTL2 esTL2 pTL2 varTL2
Triangular distributiondtriangular estriangular ptriangular vartriangular
Two sided power distributiondtsp estsp ptsp vartsp
Uniform distributionduniform esuniform puniform varuniform
Weibull distributiondWeibull esWeibull pWeibull varWeibull
Xie distributiondxie esxie pxie varxie