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>.

Version: 1.0.4
Depends: R (≥ 2.10)
Imports: esemifar, fracdiff, rugarch, smoots, stats, utils
Published: 2022-03-29
Author: Yuanhua Feng [aut] (Paderborn University, Germany), Xuehai Zhang [aut] (Former research associate at Paderborn University, Germany), Christian Peitz [aut] (Paderborn University, Germany), Dominik Schulz [aut] (Paderborn University, Germany), Shujie Li [aut] (Paderborn Universtiy, Germany), Sebastian Letmathe [aut, cre] (Paderborn University, Germany)
Maintainer: Sebastian Letmathe <sebastian.letmathe at uni-paderborn.de>
License: GPL-3
URL: https://wiwi.uni-paderborn.de/en/dep4/feng/
NeedsCompilation: no
Materials: README NEWS
In views: Finance
CRAN checks: ufRisk results


Reference manual: ufRisk.pdf


Package source: ufRisk_1.0.4.tar.gz
Windows binaries: r-devel: ufRisk_1.0.4.zip, r-release: ufRisk_1.0.4.zip, r-oldrel: ufRisk_1.0.4.zip
macOS binaries: r-release (arm64): ufRisk_1.0.4.tgz, r-oldrel (arm64): ufRisk_1.0.4.tgz, r-release (x86_64): ufRisk_1.0.4.tgz, r-oldrel (x86_64): ufRisk_1.0.4.tgz
Old sources: ufRisk archive


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