| Name : R-Risk
| |
| Version : 1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp154.2.1
| Date : 2021-12-11 19:23:00
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| Group : Development/Libraries/Other
| Source RPM : R-Risk-1.0-lp154.2.1.src.rpm
|
| Size : 0.09 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : 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.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.4/x86_64 |
