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atRisk
View on CRAN: Click
here
Download and install atRisk package within the R console
Install from CRAN:
install.packages("atRisk")
Install from Github:
library("remotes")
install_github("cran/atRisk")
Install by package version:
library("remotes")
install_version("atRisk", "0.1.0")
Attach the package and use:
library("atRisk")
Maintained by
Quentin Lajaunie
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-08-08
Latest Update: 2023-08-08
Description:
The at-Risk (aR) approach is based on a two-step parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) to reveal the vulnerability of economic growth to financial conditions, the aR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al. (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
How to cite:
Quentin Lajaunie (2023). atRisk: At-Risk. R package version 0.1.0, https://cran.r-project.org/web/packages/atRisk. Accessed 06 Nov. 2024.
Previous versions and publish date:
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Complete documentation for atRisk
Functions, R codes and Examples using
the atRisk R package
Some associated functions: data_US . data_euro . data_param_histo . f_ES . f_VaR . f_compile_quantile . f_distrib . f_histo_RM . f_param_histo . f_plot_distrib_2D . f_plot_distrib_3D .
Some associated R codes: f_ES.R . f_VaR.R . f_compile_quantile.R . f_distrib.R . f_histo_RM.R . f_param_histo.R . f_plot_distrib_2D.R . f_plot_distrib_3D.R . Full atRisk package functions and examples
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