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Risk: An R Package for Financial Risk Measures

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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.

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Acknowledgements

The authors would like to thank the two referees and the Editor for careful reading and comments which greatly improved the paper.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, American University of Sharjah, Sharjah, United Arab Emirates

    Stephen Chan

  2. University of Manchester, Manchester M13, 9PL, Manchester, UK

    Saralees Nadarajah

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  1. Stephen Chan
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  2. Saralees Nadarajah
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Correspondence to Saralees Nadarajah.

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Chan, S., Nadarajah, S. Risk: An R Package for Financial Risk Measures. Comput Econ 53, 1337–1351 (2019). https://doi.org/10.1007/s10614-018-9806-9

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