Risk: An R Package for Financial Risk Measures

Stephen Chan, Saralees Nadarajah

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    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.

    Original languageEnglish
    Pages (from-to)1-15
    Number of pages15
    JournalComputational Economics
    Early online date17 Mar 2018
    DOIs
    Publication statusPublished - 2018

    Keywords

    • Beyond value at risk
    • Expected shortfall
    • Value at risk

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