8 lines
495 B
Plaintext
8 lines
495 B
Plaintext
Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile
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function, distribution function, random number generator or probability density
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function. ES is also known as Conditional Value at Risk (CVaR). Virtually any
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continuous distribution can be specified. The functions are vectorized over the
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arguments. The computations are done directly from the definitions, see e.g.
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Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH
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models is provided, as well.
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