Risk
Computes 26 Financial Risk Measures for Any Continuous Distribution
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.
Downloads
187
Last 30 days
17535th
187
Last 90 days
187
Last year
CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
CRAN incoming feasibility
Maintainer: ‘Saralees Nadarajah <mbbsssn2@manchester.ac.uk>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Saralees",
family = "Nadarajah",
role = c("aut", "cre"),
email = "mbbsssn2@manchester.ac.uk"),
person(given = "Stephen",
family = "Chan",
role = "aut"))
as necessary.
CRAN incoming feasibility
Maintainer: ‘Saralees Nadarajah <mbbsssn2@manchester.ac.uk>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Saralees",
family = "Nadarajah",
role = c("aut", "cre"),
email = "mbbsssn2@manchester.ac.uk"),
person(given = "Stephen",
family = "Chan",
role = "aut"))
as necessary.
*
*
*
*
*
*
*
*
*
*
*
*
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
CRAN incoming feasibility
Maintainer: ‘Saralees Nadarajah <mbbsssn2@manchester.ac.uk>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Saralees",
family = "Nadarajah",
role = c("aut", "cre"),
email = "mbbsssn2@manchester.ac.uk"),
person(given = "Stephen",
family = "Chan",
role = "aut"))
as necessary.
CRAN incoming feasibility
Maintainer: ‘Saralees Nadarajah <mbbsssn2@manchester.ac.uk>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Saralees",
family = "Nadarajah",
role = c("aut", "cre"),
email = "mbbsssn2@manchester.ac.uk"),
person(given = "Stephen",
family = "Chan",
role = "aut"))
as necessary.