Package: r-cran-cvar
Version: 0.5-2
Architecture: all
Maintainer: Ubuntu Developers <ubuntu-devel-discuss@lists.ubuntu.com>
Original-Maintainer: Dirk Eddelbuettel <edd@debian.org>
Installed-Size: 309
Depends: r-base-core (>= 4.2.2.20221110-1), r-api-4.0, r-cran-gbutils, r-cran-rdpack (>= 0.8)
Suggests: r-cran-testthat, r-cran-fgarch, r-cran-performanceanalytics
Section: gnu-r
Priority: optional
Homepage: https://cran.r-project.org/package=cvar
Description: GNU R package to Computed Expected Shortfall and Value at Risk
 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)
 <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided,
 as well.
