cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions

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.

Version: 0.5
Imports: gbutils, Rdpack (≥ 0.8)
Suggests: testthat, fGarch, PerformanceAnalytics
Published: 2022-11-03
DOI: 10.32614/CRAN.package.cvar
Author: Georgi N. Boshnakov [aut, cre]
Maintainer: Georgi N. Boshnakov <georgi.boshnakov at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: (doc), (devel)
NeedsCompilation: no
Materials: README NEWS
In views: Finance
CRAN checks: cvar results


Reference manual: cvar.pdf
Vignettes: Brief guide to R package cvar


Package source: cvar_0.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): cvar_0.5.tgz, r-oldrel (arm64): cvar_0.5.tgz, r-release (x86_64): cvar_0.5.tgz, r-oldrel (x86_64): cvar_0.5.tgz
Old sources: cvar archive

Reverse dependencies:

Reverse imports: fGarch


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