CRAN

VaRES 1.0

Computes value at risk and expected shortfall for over 100 parametric distributions

Released Aug 27, 2013 by Saralees Nadarajah

This package can be loaded by Renjin but 111 out 114 tests failed.

Computes Value at risk and expected shortfall, two most popular measures of financial risk, for over one hundred parametric distributions, including all commonly known distributions. Also computed are the corresponding probability density function and cumulative distribution function.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>VaRES</artifactId>
    <version>1.0-b245</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:VaRES')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 1, 2018.

Source

R

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Release History