An R Package for Value at Risk and Expected Shortfall |
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| Authors: | Stephen Chan Saralees Nadarajah Emmanuel Afuecheta |
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| Institution: | School of Mathematics, University of Manchester, Manchester, UK |
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| Abstract: | Value at risk and expected shortfall are the two most popular measures of financial risk. But the available R packages for their computation are limited. Here, we introduce an R contributed package written by the authors. It computes the two measures for over 100 parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community. |
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| Keywords: | Expected shortfall Parametric distributions Value at risk |
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