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.

Last 30 days

This package has been downloaded 169 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 5 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,251 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Jan 30, 2025 with 37 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.