Package: atRisk 0.1.0
Quentin Lajaunie
atRisk: At-Risk
The at-Risk (aR) approach is based on a two-step parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the aR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al. (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
Authors:
atRisk_0.1.0.tar.gz
atRisk_0.1.0.tar.gz(r-4.5-noble)atRisk_0.1.0.tar.gz(r-4.4-noble)
atRisk_0.1.0.tgz(r-4.4-emscripten)atRisk_0.1.0.tgz(r-4.3-emscripten)
atRisk.pdf |atRisk.html✨
atRisk/json (API)
| # Install 'atRisk' in R: |
| install.packages('atRisk', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- data_US - Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3
- data_euro - Historical data for the eurozone (GDP and Financial Conditions) from 2008:Q4 to 2022:Q3
- data_param_histo - Historical parameters (skew-t) for the US from 1973:Q1 to 2022:Q3
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 years agofrom:46dd465d6b. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 26 2024 |
| R-4.5-linux | OK | Aug 26 2024 |
Exports:f_compile_quantilef_distribf_ESf_histo_RMf_param_histof_plot_distrib_2Df_plot_distrib_3Df_VaR
Dependencies:clicolorspacedfoptimfansifarverggplot2ggridgesgluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixMatrixModelsmgcvmnormtmunsellnlmenumDerivpillarpkgconfigquantregR6RColorBrewerrlangscalessnSparseMsurvivaltibbleutf8vctrsviridisLitewithr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Historical data for the eurozone (GDP and Financial Conditions) from 2008:Q4 to 2022:Q3 | data_euro |
| Historical parameters (skew-t) for the US from 1973:Q1 to 2022:Q3 | data_param_histo |
| Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3 | data_US |
| Estimation of quantiles | f_compile_quantile |
| Distribution | f_distrib |
| Expected Shortfall | f_ES |
| Historical parameters and Risk Measures | f_histo_RM |
| Historical parameters | f_param_histo |
| Plot of historical distributions in 2D | f_plot_distrib_2D |
| Plot of historical distributions in 3D | f_plot_distrib_3D |
| Value-at-Risk | f_VaR |