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.
- Version1.0.7
- R version≥ 2.10
- LicenseGPL-3
- Needs compilation?No
- Last release10/22/2023
Documentation
Team
Sebastian Letmathe
Dominik Schulz
Show author detailsRolesAuthorYuanhua Feng
Show author detailsRolesAuthorXuehai Zhang
Show author detailsRolesAuthorChristian Peitz
Show author detailsRolesAuthorShujie Li
Show author detailsRolesAuthor
Insights
Last 30 days
This package has been downloaded 187 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 2 times.
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Last 365 days
This package has been downloaded 3,073 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Jan 30, 2025 with 50 downloads.
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Data provided by CRAN
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Dependencies
- Imports4 packages