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Many method to compute, predict and back-test VaR. For more detail, see the report: Value at Risk <researchgate.net>.
| Version: | 1.0 |
| Depends: | R (≥ 2.10.0), stats, utils |
| Published: | 2015-11-18 |
| DOI: | 10.32614/CRAN.package.jvnVaR |
| Author: | Hung Vu |
| Maintainer: | Hung Vu <viet-hung.vu at jvn.edu.vn> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | jvnVaR results |
| Reference manual: | jvnVaR.pdf |
| Package source: | jvnVaR_1.0.tar.gz |
| Windows binaries: | r-devel: jvnVaR_1.0.zip, r-release: jvnVaR_1.0.zip, r-oldrel: jvnVaR_1.0.zip |
| macOS binaries: | r-release (arm64): jvnVaR_1.0.tgz, r-oldrel (arm64): jvnVaR_1.0.tgz, r-release (x86_64): jvnVaR_1.0.tgz, r-oldrel (x86_64): jvnVaR_1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.