{ "_id": "6a0f6a3aacfb0bcc41c5e153", "Package": "ufRisk", "Type": "Package", "Title": "Risk Measure Calculation in Financial TS", "Version": "1.0.7", "Description": "Enables the user to calculate Value at Risk (VaR) and\nExpected Shortfall (ES) by means of various parametric and\nsemiparametric GARCH-type models. For the latter the estimation\nof the nonparametric scale function is carried out by means of\na data-driven smoothing approach. Model quality, in terms of\nforecasting VaR and ES, can be assessed by means of various\nbacktesting methods such as the traffic light test for VaR and\na newly developed traffic light test for ES. The approaches\nimplemented in this package are described in e.g. Feng Y.,\nBeran J., Letmathe S. and Ghosh S. (2020)\n as well as\nLetmathe S., Feng Y. and Uhde A. (2021)\n.", "License": "GPL-3", "Encoding": "UTF-8", "LazyData": "true", "Authors@R": "c(\nperson(\"Yuanhua\", \"Feng\", role = \"aut\",\ncomment = \"Paderborn University, Germany\"),\nperson(\"Xuehai\", \"Zhang\", role = \"aut\",\ncomment = \"Former research associate at Paderborn University, Germany\"),\nperson(\"Christian\", \"Peitz\", role = \"aut\",\ncomment = \"Paderborn University, Germany\"),\nperson(\"Dominik\", \"Schulz\", role = \"aut\",\ncomment = \"Paderborn University, Germany\"),\nperson(\"Shujie\", \"Li\", role = \"aut\",\ncomment = \"Paderborn Universtiy, Germany\"),\nperson(\"Sebastian\", \"Letmathe\", role = c(\"aut\", \"cre\"),\nemail = \"sebastian.letmathe@uni-paderborn.de\",\ncomment = \"Paderborn University, Germany\"))", "URL": "https://wiwi.uni-paderborn.de/en/dep4/feng/", "RoxygenNote": "7.2.3", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-21 08:44:16 UTC", "User": "root" }, "Author": "Yuanhua Feng [aut] (Paderborn University, Germany), Xuehai\nZhang [aut] (Former research associate at Paderborn University,\nGermany), Christian Peitz [aut] (Paderborn University,\nGermany), Dominik Schulz [aut] (Paderborn University, Germany),\nShujie Li [aut] (Paderborn Universtiy, Germany), Sebastian\nLetmathe [aut, cre] (Paderborn University, Germany)", "Maintainer": "Sebastian Letmathe ", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2023-10-22 10:30:31 UTC", "RemoteUrl": "https://github.com/cran/ufRisk", "RemoteRef": "HEAD", "RemoteSha": "9bb6c10244b9ce7494e68e4d5ce75668455ae6e2", "MD5sum": "b0006a50b37cfefb8dbc49925b0ad8b2", "_user": "cran", "_type": "src", "_file": "ufRisk_1.0.7.tar.gz", "_fileid": "4b7ac49bfbc6c7b3cc2b32e72e4d222cbdc9cca0374c9db3913d6332d5b8655e", "_filesize": 613486, "_sha256": "4b7ac49bfbc6c7b3cc2b32e72e4d222cbdc9cca0374c9db3913d6332d5b8655e", "_created": "2026-05-21T08:44:16.000Z", "_published": "2026-05-21T20:25:30.401Z", "_distro": "noble", "_jobs": [ { "job": 77261780194, "time": 110, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7131240222" }, { "job": 77261780244, "time": 129, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7131246835" }, { "job": 77261779731, "time": 174, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7131202794" }, { "job": 77261779726, "time": 112, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7146385379" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/26215311742", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/ufRisk", "_commit": { "id": "9bb6c10244b9ce7494e68e4d5ce75668455ae6e2", "author": "Sebastian Letmathe ", "committer": "cran-robot ", "message": "version 1.0.7\n", "time": 1697970631 }, "_maintainer": { "name": "Sebastian Letmathe", "email": "sebastian.letmathe@uni-paderborn.de" }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 2.10", "role": "Depends" }, { "package": "esemifar", "role": "Imports" }, { "package": "fracdiff", "role": "Imports" }, { "package": "rugarch", "role": "Imports" }, { "package": "smoots", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "utils", "role": "Imports" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 0, "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 264, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/ufRisk" }, "_searchresults": 1, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "extra/ufRisk.html", "manual.pdf" ], "_realowner": "cran", "_cranurl": false, "_releases": [ { "version": "1.0.0", "date": "2022-01-11" }, { "version": "1.0.1", "date": "2022-01-13" }, { "version": "1.0.2", "date": "2022-02-22" }, { "version": "1.0.3", "date": "2022-03-06" }, { "version": "1.0.4", "date": "2022-03-29" }, { "version": "1.0.5", "date": "2022-06-12" }, { "version": "1.0.6", "date": "2022-06-19" }, { "version": "1.0.7", "date": "2023-10-22" } ], "_exports": [ "covtest", "lossfunc", "trafftest", "varcast" ], "_datasets": [ { "name": "ESTX", "title": "EURO STOXX 50 (ESTX) Financial Time Series Data", "object": "ESTX", "class": [ "data.frame" ], "fields": [ "price.open", "price.high", "price.low", "price.close", "volume", "price.adjusted", "ref.date", "ticker", "ret.adjusted.prices", "ret.closing.prices" ], "rows": 3697, "table": true, "tojson": true }, { "name": "WMT", "title": "Walmart Inc. 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