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, probability density function, or data. 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: | 0.6 |
| Imports: | gbutils, Rdpack (≥ 0.8) |
| Suggests: | testthat, fGarch, PerformanceAnalytics |
| Published: | 2025-12-17 |
| DOI: | 10.32614/CRAN.package.cvar |
| Author: | Georgi N. Boshnakov
 [aut, cre] |
| Maintainer: | Georgi N. Boshnakov <georgi.boshnakov at manchester.ac.uk> |
| BugReports: | https://github.com/GeoBosh/cvar/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://geobosh.github.io/cvar/ (doc), https://github.com/GeoBosh/cvar (devel) |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| In views: | Finance |
| CRAN checks: | cvar results |
Documentation:
| Reference manual: | cvar.html , cvar.pdf |
| Vignettes: |
Brief guide to R package cvar (source, R code) |
Downloads:
| Package source: | cvar_0.6.tar.gz |
| Windows binaries: | r-devel: cvar_0.6.zip, r-release: cvar_0.6.zip, r-oldrel: cvar_0.6.zip |
| macOS binaries: | r-release (arm64): cvar_0.6.tgz, r-oldrel (arm64): cvar_0.6.tgz, r-release (x86_64): cvar_0.6.tgz, r-oldrel (x86_64): cvar_0.6.tgz |
| Old sources: | cvar archive |
Reverse dependencies:
| Reverse imports: | fGarch |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=cvar to link to this page.