BSD Ports

math/R-cran-cvar 0.5_1 DragonFly

Compute Expected Shortfall and Value at Risk for Continuous Distributions

System
DragonFly
Repository
DPorts
Maintainer
[email protected] (as in FreeBSD)
License
GPLv2+
Categories
math
Package size
271.6 KiB, 303.1 KiB installed

Description

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.

In the other systems

SystemPortVersion
DragonFlymath/R-cran-cvar0.5_1
FreeBSDmath/R-cran-cvar0.6.1
HardenedBSDmath/R-cran-cvar0.6.1
GhostBSDmath/R-cran-cvar0.6.1

Install

Binary package:

pkg install R-cran-cvar

From DPorts:

cd /usr/dports/math/R-cran-cvar && make install clean

Dependencies

Run dependencies 3
Required by 1

Configuration

No options to configure.

Service scripts
none

Message after installing

===>   NOTICE:

The R-cran-cvar port currently does not have a maintainer. As a result, it is
more likely to have unresolved issues, not be up-to-date, or even be removed in
the future. To volunteer to maintain this port, please create an issue at:

https://bugs.freebsd.org/bugzilla

More information about port maintainership is available at:

https://docs.freebsd.org/en/articles/contributing/#ports-contributing