Compute Expected Shortfall and Value at Risk for Continuous Distributions

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Documentation for package ‘cvar’ version 0.5

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

cvar-package	Compute Conditional Value-at-Risk and Value-at-Risk
cvar	Compute Conditional Value-at-Risk and Value-at-Risk
ES	Compute expected shortfall (ES) of distributions
ES.default	Compute expected shortfall (ES) of distributions
ES.numeric	Compute expected shortfall (ES) of distributions
GarchModel	Specify a GARCH model
predict.garch1c1	Prediction for GARCH(1,1) time series
sim_garch1c1	Simulate GARCH(1,1) time series
VaR	Compute Value-at-Risk (VaR)
VaR.default	Compute Value-at-Risk (VaR)
VaR.numeric	Compute Value-at-Risk (VaR)
VaR_cdf	Compute Value-at-Risk (VaR)
VaR_qf	Compute Value-at-Risk (VaR)