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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 |
| Reference manual: | Risk.pdf |
| 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 |
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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.
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