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freebsd
GitHub Repository: freebsd/freebsd-ports
Path: blob/main/math/R-cran-cvar/pkg-descr
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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.