Risk

Computes 26 financial risk measures for any continuous distribution. The 26 financial risk measures include value at risk, expected shortfall due to Artzner et al. (1999) doi:10.1007/s10957-011-9968-2, tail conditional median due to Kou et al. (2013) doi:10.1287/moor.1120.0577, expectiles due to Newey and Powell (1987) doi:10.2307/1911031, beyond value at risk due to Longin (2001) doi:10.3905/jod.2001.319161, expected proportional shortfall due to Belzunce et al. (2012) doi:10.1016/j.insmatheco.2012.05.003, elementary risk measure due to Ahmadi-Javid (2012) doi:10.1007/s10957-011-9968-2, omega due to Shadwick and Keating (2002), sortino ratio due to Rollinger and Hoffman (2013), kappa due to Kaplan and Knowles (2004), Wang (1998)'s doi:10.1080/10920277.1998.10595708 risk measures, Stone (1973)'s doi:10.2307/2978638 risk measures, Luce (1980)'s doi:10.1007/BF00135033 risk measures, Sarin (1987)'s doi:10.1007/BF00126387 risk measures, Bronshtein and Kurelenkova (2009)'s risk measures.