A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
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Updated
Mar 1, 2024 - Julia
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.
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