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.