• GAS

  • Referenced in 5 articles [sw17726]
  • Value-at-Risk Prediction in R with the GAS Package. GAS models have been recently ... managers can use GAS models for Value-at-Risk (VaR) prediction using the novel...
  • QPsimplex

  • Referenced in 5 articles [sw31751]
  • polyhedron. Such problems arise in parametric value-at-risk minimization, portfolio optimization, and robust optimization...
  • VG_codes

  • Referenced in 2 articles [sw23808]
  • found rather limited applications in finance and risk management. One of the reasons is that ... closed form and is unbounded for small values of the shape parameter. Moreover, we study ... squared-error, for both parameter and value-at-risk estimation. The performance of the routines...
  • TailRiskScenGen.jl

  • Referenced in 1 article [sw36147]
  • risk measure such as the conditional value-at-risk. For problems involving tail risk measure...
  • evt0

  • Referenced in 1 article [sw21094]
  • Compute high quantile or value-at-risk (VaR) based on above EVI estimates...
  • FatTailsR

  • Referenced in 0 articles [sw15469]
  • high accuracy distribution parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas...
  • Cuba

  • Referenced in 61 articles [sw00173]
  • Cuba -- a library for multidimensional numerical integration. The...
  • EVIM

  • Referenced in 10 articles [sw00255]
  • EVIM: a software package for extremel value analysis...
  • LANCELOT

  • Referenced in 304 articles [sw00500]
  • LANCELOT. A Fortran package for large-scale nonlinear...
  • Mathematica

  • Referenced in 6129 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 12721 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • R

  • Referenced in 8904 articles [sw00771]
  • R is a language and environment for statistical...
  • SNDlib

  • Referenced in 70 articles [sw00884]
  • SNDlib is a library of test instances for...
  • XploRe

  • Referenced in 59 articles [sw01128]
  • XploRe is the name of a commercial statistics...
  • Snow

  • Referenced in 20 articles [sw01447]
  • Snow: A parallel computing framework for the R...
  • ASYNPLEX

  • Referenced in 8 articles [sw02174]
  • This paper describes ASYNPLEX, an asynchronous variant of...
  • MCS

  • Referenced in 9 articles [sw02814]
  • MCS---a new algorithm for multicriteria optimisation in...
  • S-PLUS

  • Referenced in 604 articles [sw02892]
  • S-PLUS is a powerful environment for statistical...
  • AS 99

  • Referenced in 18 articles [sw03870]
  • Algorithm AS 99. Fitting Johnson curves by moments...