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R-cran-cvar

Jul 20, 2023

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 <doi10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.

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