BKg1

a character string specifying the distribution (for example, "norm" corresponds to the standard normal)

spec

a real valued parameter taking values in (0, 1), see Chan and Nadarajah for details

alpha

the lower end point of the distribution specified by <code>spec</code>

the upper end point of the distribution specified by <code>spec</code>

Computes the first risk measure due to Bronshtein and Kurelenkova (2009)

Bronshtein and Kurelenkova (2009)'s first risk measure

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.

BKg1: Bronshtein And Kurelenkova (2009)'s First Risk Measure

Description

Usage

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References