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VaRES (version 1.0.2)

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

Description

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) for more details.

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Version

Install

install.packages('VaRES')

Monthly Downloads

330

Version

1.0.2

License

GPL (>= 2)

Maintainer

Last Published

April 22nd, 2023

Functions in VaRES (1.0.2)

Freimer distribution

Cauchy distribution

Hosking logistic distribution

Gamma distribution

Birnbaum-Saunders distribution

McDonald-Richards beta distribution

Holla-Bhattacharya Laplace distribution

Hankin-Lee distribution

Libby-Novick beta distribution

Topp-Leone distribution

Poiraud-Casanova-Thomas-Agnan Laplace distribution

McGill Laplace distribution

Computes value at risk and expected shortfall for over 100 parametric distributions

Ramberg-Schmeiser distribution

Asymmetric exponential power distribution

Student's t distribution

Generalized asymmetric Student's t distribution

Tukey-Lambda distribution

Arcsine distribution

Beta Gompertz distribution

Asymmetric Laplace distribution

Beta exponential distribution

Beard distribution

Beta distribution

Beta Burr XII distribution

Beta Gumbel distribution

Beta Frechet distribution

Asymmetric power distribution

Beta Burr distribution

Chen distribution

Beta Pareto distribution

Burr distribution

Beta Gumbel 2 distribution

Beta Lomax distribution

Beta lognormal distribution

Beta normal distribution

Burr XII distribution

Compound Laplace gamma distribution

Complementary beta distribution

Beta Weibull distribution

Exponential logarithmic distribution

Dagum distribution

Exponentiated logistic distribution

Double Weibull distribution

Exponential distribution

Exponentiated exponential distribution

Exponential Poisson distribution

Exponential extension distribution

Exponential geometric distribution

Exponential power distribution

Generalized inverse beta distribution

Generalized beta II distribution

Generalized logistic distribution

Generalized logistic III distribution

Generalized Pareto distribution

Frechet distribution

Generalized logistic IV distribution

Exponentiated Weibull distribution

Generalized beta distribution

genpowerweibull

Generalized power Weibull distribution

Half logistic distribution

Gumbel distribution

Gompertz distribution

Gumbel II distribution

Generalized extreme value distribution

Half normal distribution

Half Student's t distribution

Half Cauchy distribution

Generalized uniform distribution

Kumaraswamy distribution

Kumaraswamy Gumbel distribution

Inverse gamma distribution

Kumaraswamy gamma distribution

Kumaraswamy exponential distribution

Inverse exponentiated exponential distribution

Inverse beta distribution

Kumaraswamy Burr XII distribution

Kumaraswamy log-logistic distribution

Kumaraswamy half normal distribution

Log beta distribution

Laplace distribution

Log Cauchy distribution

Kumaraswamy Pareto distribution

Kumaraswamy Weibull distribution

Kumaraswamy normal distribution

Logistic exponential distribution

Logistic Rayleigh distribution

Linear failure rate distribution

Log gamma distribution

Loglog distribution

Log Laplace distribution

Log-logistic distribution

Marshall-Olkin exponential distribution

Marshall-Olkin Weibull distribution

Lognormal distribution

Logistic distribution

Nakagami distribution

Lomax distribution

Normal distribution

Hyperbolic secant distribution

Schabe distribution

Pareto distribution

Power function II distribution

Perks distribution

Reflected gamma distribution

Pareto positive stable distribution

Stacy distribution

Quadratic distribution

Power function I distribution

Weibull distribution

Triangular distribution

Uniform distribution

Two sided power distribution

Xie distribution