An R Package for Value at Risk and Expected Shortfall

Stephen Chan; Saralees Nadarajah; Emmanuel Afuecheta

doi:10.1080/03610918.2014.944658

An R Package for Value at Risk and Expected Shortfall

Stephen Chan, Saralees Nadarajah (Collaborator), Emmanuel Afuecheta (Collaborator)

Research output: Contribution to journal › Article › peer-review

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 one hundred parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.

Original language	English
Journal	Communications in Statistics: Simulation and Computation
Volume	45
Issue number	9
Early online date	5 Jun 2015
DOIs	https://doi.org/10.1080/03610918.2014.944658
Publication status	Published - 2015

Keywords

Expected shortfall, Parametric distributions, Value at risk

Access to Document

10.1080/03610918.2014.944658

Cite this

@article{7ac505416d8145359a9931131f6bd0da,

title = "An R Package for Value at Risk and Expected Shortfall",

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 one hundred parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.",

keywords = "Expected shortfall, Parametric distributions, Value at risk",

author = "Stephen Chan and Saralees Nadarajah and Emmanuel Afuecheta",

year = "2015",

doi = "10.1080/03610918.2014.944658",

language = "English",

volume = "45",

journal = "Communications in Statistics: Simulation and Computation",

issn = "0361-0918",

publisher = "Taylor & Francis",

number = "9",

}

TY - JOUR

T1 - An R Package for Value at Risk and Expected Shortfall

AU - Chan, Stephen

A2 - Nadarajah, Saralees

A2 - Afuecheta, Emmanuel

PY - 2015

Y1 - 2015

N2 - 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 one hundred parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.

AB - 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 one hundred parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.

KW - Expected shortfall, Parametric distributions, Value at risk

U2 - 10.1080/03610918.2014.944658

DO - 10.1080/03610918.2014.944658

M3 - Article

SN - 0361-0918

VL - 45

JO - Communications in Statistics: Simulation and Computation

JF - Communications in Statistics: Simulation and Computation

IS - 9

ER -

An R Package for Value at Risk and Expected Shortfall

Abstract

Keywords

Access to Document

Fingerprint

Cite this