Risk (1.0)

0 users

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) , tail conditional median due to Kou et al. (2013) , expectiles due to Newey and Powell (1987) , beyond value at risk due to Longin (2001) , expected proportional shortfall due to Belzunce et al. (2012) , elementary risk measure due to Ahmadi-Javid (2012) , 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 risk measures, Stone (1973)'s risk measures, Luce (1980)'s risk measures, Sarin (1987)'s risk measures, Bronshtein and Kurelenkova (2009)'s risk measures.

Maintainer: Saralees Nadarajah
Author(s): Saralees Nadarajah, Stephen Chan

License: GPL (>= 2)

Uses: Does not use any package

Released almost 3 years ago.



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of Risk yet. Want to be the first? Write one now.

Related packages: ChainLadder, CreditMetrics, PerformanceAnalytics, Rcmdr, TSdbi, TTR, backtest, car, copula, dlm, dse, dyn, dynlm, fAssets, fBasics, fBonds, fCopulae, fExoticOptions, fExtremes, fGarch(20 best matches, based on common tags.)

Search for Risk on google, google scholar, r-help, r-devel.

Visit Risk on R Graphical Manual.