Package: cvar
Type: Package
Title: Compute Expected Shortfall and Value at Risk for Continuous
        Distributions
Version: 0.1-1
Date: 2018-04-09
Author: Georgi N. Boshnakov
Maintainer: Georgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
Description: 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>.
URL: https://github.com/GeoBosh/cvar
BugReports: https://github.com/GeoBosh/cvar/issues
Imports: stats, utils, gbutils, Rdpack (>= 0.7)
RdMacros: Rdpack
License: GPL (>= 2)
Collate: VaR.R cvar-package.R
RoxygenNote: 6.0.1
Suggests: testthat, PerformanceAnalytics
NeedsCompilation: no
Packaged: 2018-04-09 15:20:25 UTC; mcbssgb2
Repository: CRAN
Date/Publication: 2018-04-09 16:01:48 UTC
