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:
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)
NEWS
# Install 'ufRisk' in R: |
install.packages('ufRisk', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
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:9bb6c10244. Checks:OK: 2. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Dec 15 2024 |
R-4.5-linux | OK | Dec 15 2024 |
Exports:covtestlossfunctrafftestvarcast
Dependencies:chronclicodetoolscolorspacecrayondigestDistributionUtilsesemifarfansifarverFNNfracdifffurrrfuturefuture.applyGeneralizedHyperbolicggplot2globalsgluegtablehmsisobandkernlabKernSmoothkslabelinglatticelifecyclelistenvmagrittrMASSMatrixmclustmgcvmulticoolmunsellmvtnormnlmenloptrnumDerivparallellypillarpkgconfigpracmaprettyunitsprogressprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangRsolnprugarchscalesSkewHyperbolicsmootsspdtibbletruncnormutf8vctrsviridisLitewithrxtszoo