An R Package for Value at Risk and Expected Shortfall. Issue 9 (20th October 2016)

• Record Type: Journal Article
• Authors: Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel
• Is Part Of: Communications in statistics. Volume 45:Issue 9(2016)
• Page Start: 3416
• Page End: 3434
• Publication Date: 2016-10-20
• Subjects: Expected shortfall -- Parametric distributions -- Value at risk.; 62E99; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2014.944658
• Languages: English
• ISSNs: 0361-0918

Abstract

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.