An R Package for Value at Risk and Expected Shortfall

DOI10.1080/03610918.2014.944658zbMath1349.91001OpenAlexW1619979363MaRDI QIDQ129979

Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah, Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah

Publication date: 2 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.944658

zbMATH Keywords

expected shortfallvalue at riskparametric distributions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Uses Software

• R
• ghyp
• VaR
• PerformanceAnalytics
• evir
• QRM
• Rugarch
• fExtremes
• VaRES
• evt0
• GUIDE

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