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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.7 |
rolling linux/jammy R-4.5 | ufRisk_1.0.7.tar.gz |
417.5 KiB |
1.0.7 |
rolling linux/noble R-4.5 | ufRisk_1.0.7.tar.gz |
417.5 KiB |
1.0.7 |
rolling source/ R- | ufRisk_1.0.7.tar.gz |
358.3 KiB |
1.0.7 |
latest linux/jammy R-4.5 | ufRisk_1.0.7.tar.gz |
417.5 KiB |
1.0.7 |
latest linux/noble R-4.5 | ufRisk_1.0.7.tar.gz |
417.5 KiB |
1.0.7 |
latest source/ R- | ufRisk_1.0.7.tar.gz |
358.3 KiB |
1.0.7 |
2026-04-26 source/ R- | ufRisk_1.0.7.tar.gz |
358.3 KiB |
1.0.7 |
2026-04-23 source/ R- | ufRisk_1.0.7.tar.gz |
358.3 KiB |
1.0.7 |
2026-04-09 windows/windows R-4.5 | ufRisk_1.0.7.zip |
427.8 KiB |
1.0.7 |
2025-04-20 source/ R- | ufRisk_1.0.7.tar.gz |
358.3 KiB |