VaRES
Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
v1.0.2
·
Apr 21, 2023
·
GPL (>= 2)
Description
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. See Chan, Nadarajah and Afuecheta (2015) <doi:10.1080/03610918.2014.944658> for more details.
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Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
| r-devel-windows-x86_64 | NOTE |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | NOTE |
| r-release-linux-x86_64 | NOTE |
| r-release-macos-arm64 | NOTE |
| r-release-macos-x86_64 | NOTE |
| r-release-windows-x86_64 | NOTE |
Check details (13 non-OK)
NOTE
r-devel-linux-x86_64-debian-clang
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-debian-gcc
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-fedora-clang
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-fedora-gcc
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-macos-arm64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-macos-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-patched-linux-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-linux-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-macos-arm64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-macos-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
| ^
checkRd: (-1) betafrechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Fr\'{e}chet distribution due to Barreto-Souza et al. (2011) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) frechet.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Fr\'{e}chet distribution due to Fr\'{e}chet (1927) given by
| ^
checkRd: (-1) kumburr7.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
Check History
NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE
r-devel-linux-x86_64-debian-clang
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-debian-gcc
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-fedora-clang
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-linux-x86_64-fedora-gcc
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-macos-arm64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-devel-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-patched-linux-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-linux-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-macos-arm64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-macos-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-release-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-macos-arm64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-macos-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
NOTE
r-oldrel-windows-x86_64
Rd files
checkRd: (-1) betaburr.Rd:7: Lost braces
7 | \description{Computes the pdf, cdf, value at risk and expected shortfall for the beta Burr distribution due to Parana\'{i}ba et al. (2011) given by
|
...[truncated]...
and expected shortfall for the Kumaraswamy Burr XII distribution due to Parana\'{i}ba et al. (2013) given by
| ^
Code
Structure
Lines of code
9,989
Files
120
Compiled share
0%
Has compiled src
No
Language breakdown
R 4,060 (40.6%)Docs 5,929 (59.4%)
API
Exported functions
448
Internal functions
0
Recent export changes
v1.0+1 pattern:^[[:alpha:]]+
Testing & CI
Has tests
No
Test-to-code ratio
0.00
testthat edition
–
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
–
\dontrun example ratio
0%
Roxygen coverage
–
Has pkgdown
No
NEWS present
No
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
–
Unsafe pattern score
0
Dep constraint coverage
–
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
2.15.0
System requirements
–
C++ standard
–
License
GPL (>= 2)
License flags
SPDX valid, OSI approved
History
Versions
3
First release
2013-08-25
Latest release
2023-04-21
Avg cadence
1763 days
Cold removal rate
–
Dep drift
0
LOC over versions
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.