Risk

1.0

Computes 26 Financial Risk Measures for Any Continuous Distribution

0packages depend

2.5Kdownloads / year

–test coverage

11/13checks pass

Overview

About

Maintained by Saralees NadarajahFirst published 2017-06-081 releasesCRAN page ↗

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.

Install

R (CRAN)Ubuntu (r2u)openSUSE (OBS)

install.packages("Risk", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-risk

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-Risk

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 51 s · r-devel-windows-x86_64

Check history

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

Documentation signals are not tracked yet for this package.

Downloads

2.5K

CRAN downloads in the past year

Rank #20,345 · ~7/day · ~206/mo

Risk Releases R versions

Daily download trend is not available in this view yet.

17330 days

57390 days

2.5K1 year

Compare downloads with other packages →

Also on102 r2u18 autocran81 c2d4u

Dependencies

Declared dependencies

0 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.0.1

Imports (0)

none

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (0)

Author records are not tracked yet for this package.

Listed in earlier versions (2)

Stephen Chan

no longer listed · 1.0

Saralees Nadarajah

no longer listed · 1.0

Package Timeline

1 release. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.0Latest
2026-03-10 · current release
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2017-06-08
Total releases: 1 / 9 yrs
License: GPL (>= 2) OSI
Download size: 7.3 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

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