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Risk  

Computes 26 Financial Risk Measures for Any Continuous Distribution
View on CRAN: Click here


Download and install Risk package within the R console
Install from CRAN:
install.packages("Risk")

Install from Github:
library("remotes")
install_github("cran/Risk")

Install by package version:
library("remotes")
install_version("Risk", "1.0")



Attach the package and use:
library("Risk")
Maintained by
Saralees Nadarajah
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-06-08
Latest Update: 2017-06-08
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) , 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.
How to cite:
Saralees Nadarajah (2017). Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution. R package version 1.0, https://cran.r-project.org/web/packages/Risk. Accessed 18 Sep. 2026.
Previous versions and publish date:
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Other packages that cited Risk R package
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Other R packages that Risk depends, imports, suggests or enhances
Complete documentation for Risk
Functions, R codes and Examples using the Risk R package
Some associated functions: BKg1 . BKg2 . BKg3 . BKg4 . Risk-package . bvar . epsg . esg . expect . expp . expvar . kappag . luceg1 . luceg2 . luceg3 . luceg4 . omegag . saring1 . saring2 . saring3 . sortinog . stoneg1 . stoneg2 . tcm . varg . wangg1 . wangg2 . 
Some associated R codes: Risk.R .  Full Risk package functions and examples
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