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Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution

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.

Version: 1.0
Depends: R (≥ 3.0.1)
Published: 2017-06-08
DOI: 10.32614/CRAN.package.Risk
Author: Saralees Nadarajah, Stephen Chan
Maintainer: Saralees Nadarajah <mbbsssn2 at manchester.ac.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
In views: Finance
CRAN checks: Risk results

Documentation:

Reference manual: Risk.pdf

Downloads:

Package source: Risk_1.0.tar.gz
Windows binaries: r-devel: Risk_1.0.zip, r-release: Risk_1.0.zip, r-oldrel: Risk_1.0.zip
macOS binaries: r-release (arm64): Risk_1.0.tgz, r-oldrel (arm64): Risk_1.0.tgz, r-release (x86_64): Risk_1.0.tgz, r-oldrel (x86_64): Risk_1.0.tgz

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.