| Name : R-cvar
| |
| Version : 0.5
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp156.1.1
| Date : 2024-06-24 13:56:56
|
| Group : Development/Libraries/Other
| Source RPM : R-cvar-0.5-lp156.1.1.src.rpm
|
| Size : 0.27 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Compute Expected Shortfall and Value at Risk for Continuous Distributions
|
Description :
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.6/x86_64 |
