Package: Risk
Type: Package
Title: Computes 26 Financial Risk Measures for Any Continuous
        Distribution
Version: 1.0
Date: 2017-06-05
Author: Saralees Nadarajah, Stephen Chan
Maintainer: Saralees Nadarajah <mbbsssn2@manchester.ac.uk>
Depends: R (>= 3.0.1)
Description: 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.
License: GPL (>= 2)
Packaged: 2017-06-08 13:57:28 UTC; mbbsssn2
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2017-06-08 15:19:54 UTC
Built: R 4.6.0; ; 2026-04-25 21:53:37 UTC; unix
