r-cran-cvar binary package in Ubuntu Noble s390x
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.
as well.
Publishing history
| Date | Status | Target | Component | Section | Priority | Phased updates | Version | ||
|---|---|---|---|---|---|---|---|---|---|
| 2023-10-23 22:30:24 UTC | Published | Ubuntu Noble s390x | release | universe | gnu-r | Optional | 0.5-2 | ||
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