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Risk: An R Package for Financial Risk Measures

Author

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  • Stephen Chan

    (American University of Sharjah)

  • Saralees Nadarajah

    (University of Manchester)

Abstract

A new R contributed package written by the authors is introduced. The package is believed to be the most comprehensive one to date for financial risk measures. It computes twenty six financial risk measures for any continuous distribution. The use of the package is illustrated.

Suggested Citation

  • Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
    • Handle: RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9806-9
    DOI: 10.1007/s10614-018-9806-9
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    References listed on IDEAS

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    Cited by:

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    2. Annika Homburg & Christian H. Weiß & Gabriel Frahm & Layth C. Alwan & Rainer Göb, 2021. "Analysis and Forecasting of Risk in Count Processes," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    3. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    4. Katleho Makatjane & Tshepiso Tsoku, 2022. "Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods," IJFS, MDPI, vol. 10(1), pages 1-23, January.

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