Ecosyste.ms: Packages

An open API service providing package, version and dependency metadata of many open source software ecosystems and registries.

cran.r-project.org "expected-shortfall" keyword

portvine 1.0.3

Vine Based (Un)Conditional Portfolio Risk Measure Estimation
3 versions - Latest release: 5 months ago - 238 downloads last month - 19 stars on GitHub - 1 maintainer

cvar 0.4.1

Compute Expected Shortfall and Value at Risk for Continuous Distributions
6 versions - Latest release: over 1 year ago - 1 dependent package - 11.3 thousand downloads last month - 5 stars on GitHub - 1 maintainer

Related Keywords

value-at-risk 2 garch-models 1 rpackage 1 vine-copulas 1 locations-scale-transformations 1 quantile 1 quantile-functions 1 risk 1