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.
| Original language | English |
|---|---|
| Pages (from-to) | 3416-3434 |
| Number of pages | 19 |
| Journal | Communications in Statistics Part B: Simulation and Computation |
| Volume | 45 |
| Issue number | 9 |
| DOIs | |
| State | Published - 20 Oct 2016 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2016, Copyright © Taylor & Francis Group, LLC.
Keywords
- Expected shortfall
- Parametric distributions
- Value at risk
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation