Package: Risk 1.0

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.

Authors:Saralees Nadarajah, Stephen Chan

# Install 'Risk' in R:

install.packages('Risk', repos = c('https://mbbsssn2.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

Last updated 8 years agofrom:f05e2ce1df. Checks:8 OK. Indexed: yes.

Dependencies:

Help page	Topics
Computes 26 Financial Risk Measures for Any Continuous Distribution	Risk-package Risk
Bronshtein And Kurelenkova (2009)'s First Risk Measure	BKg1
Bronshtein And Kurelenkova (2009)'s Second Risk Measure	BKg2
Bronshtein And Kurelenkova (2009)'s Third Risk Measure	BKg3
Bronshtein And Kurelenkova (2009)'s Fourth Risk Measure	BKg4
Beyond Value At Risk Due To Longin (2001)	bvar
Expected Proportional Shortfall Due To Belzunce et al. (2012)	epsg
Expected Shortfall Due To Artzner et al. (1999)	esg
Expectation	expect
Expectiles Due To Newey And Powell (1987)	expp
An Elementary Risk Measure Due To Ahmadi-Javid (2012)	expvar
Kappa Risk Measure Due To Kaplan And Knowles (2004)	kappag
Luce (1980)'s First Risk Measure	luceg1
Luce (1980)'s Second Risk Measure	luceg2
Luce (1980)'s Third Risk Measure	luceg3
Luce (1980)'s Fourth Risk Measure	luceg4
Omega Risk Measure Due To Shadwick And Keating (2002)	omegag
Sarin (1987)'s First Risk Measure	saring1
Sarin (1987)'s Second Risk Measure	saring2
Sarin (1987)'s Third Risk Measure	saring3
Sortino Ratio Due To Rollinger And Hoffman (2013)	sortinog
Stone (1973)'s First Risk Measure	stoneg1
Stone (1973)'s Second Risk Measure	stoneg2
Tail Conditional Mean Due To Kou et al. (2013)	tcm
Value At Risk	varg
Wang (1998)'s First Risk Measure	wangg1
Wang (1998)'s Second Risk Measure	wangg2