Risk: An R Package for Financial Risk Measures

Stephen Chan and Saralees Nadarajah ()
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Stephen Chan: American University of Sharjah
Saralees Nadarajah: University of Manchester

Computational Economics, 2019, vol. 53, issue 4, No 2, 1337-1351

Abstract: 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.

Keywords: Beyond value at risk; Expected shortfall; Value at risk (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10614-018-9806-9

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