Package: ufRisk 1.0.7

Sebastian Letmathe

ufRisk: Risk Measure Calculation in Financial TS

Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various parametric and semiparametric GARCH-type models. For the latter the estimation of the nonparametric scale function is carried out by means of a data-driven smoothing approach. Model quality, in terms of forecasting VaR and ES, can be assessed by means of various backtesting methods such as the traffic light test for VaR and a newly developed traffic light test for ES. The approaches implemented in this package are described in e.g. Feng Y., Beran J., Letmathe S. and Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as Letmathe S., Feng Y. and Uhde A. (2021) <https://ideas.repec.org/p/pdn/ciepap/141.html>.

Authors:Yuanhua Feng [aut], Xuehai Zhang [aut], Christian Peitz [aut], Dominik Schulz [aut], Shujie Li [aut], Sebastian Letmathe [aut, cre]

ufRisk_1.0.7.tar.gz
ufRisk_1.0.7.tar.gz(r-4.5-noble)ufRisk_1.0.7.tar.gz(r-4.4-noble)
ufRisk_1.0.7.tgz(r-4.4-emscripten)ufRisk_1.0.7.tgz(r-4.3-emscripten)
ufRisk.pdf |ufRisk.html✨
ufRisk/json (API)
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4 exports 0.00 score 67 dependencies 1 scripts 299 downloads

Last updated 11 months agofrom:9bb6c10244. Checks:OK: 2. Indexed: yes.

Exports:covtestlossfunctrafftestvarcast

Dependencies:chronclicodetoolscolorspacecrayondigestDistributionUtilsesemifarfansifarverFNNfracdifffurrrfuturefuture.applyGeneralizedHyperbolicggplot2globalsgluegtablehmsisobandkernlabKernSmoothkslabelinglatticelifecyclelistenvmagrittrMASSMatrixmclustmgcvmulticoolmunsellmvtnormnlmenloptrnumDerivparallellypillarpkgconfigpracmaprettyunitsprogressprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangRsolnprugarchscalesSkewHyperbolicsmootsspdtibbletruncnormutf8vctrsviridisLitewithrxtszoo