CRAN/E | Risk

Risk

Computes 26 Financial Risk Measures for Any Continuous Distribution

Installation

About

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.

Key Metrics

Version 1.0
R ≥ 3.0.1
Published 2017-06-08 2567 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks Risk results

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Maintainer

Maintainer

Saralees Nadarajah

Authors

Saralees Nadarajah
Stephen Chan

Material

Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 3.0.1