Other packages > Find by keyword >

ufRisk  

Risk Measure Calculation in Financial TS
View on CRAN: Click here


Download and install ufRisk package within the R console
Install from CRAN:
install.packages("ufRisk")

Install from Github:
library("remotes")
install_github("cran/ufRisk")

Install by package version:
library("remotes")
install_version("ufRisk", "1.0.7")



Attach the package and use:
library("ufRisk")
Maintained by
Sebastian Letmathe
[Scholar Profile | Author Map]
First Published: 2022-01-11
Latest Update: 2023-10-22
Description:
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>.
How to cite:
Sebastian Letmathe (2022). ufRisk: Risk Measure Calculation in Financial TS. R package version 1.0.7, https://cran.r-project.org/web/packages/ufRisk. Accessed 02 Apr. 2025.
Previous versions and publish date:
1.0.0 (2022-01-11 10:40), 1.0.1 (2022-01-13 08:40), 1.0.2 (2022-02-22 18:30), 1.0.3 (2022-03-06 19:10), 1.0.4 (2022-03-29 10:50), 1.0.5 (2022-06-12 21:50), 1.0.6 (2022-06-19 12:20)
Other packages that cited ufRisk R package
View ufRisk citation profile
Other R packages that ufRisk depends, imports, suggests or enhances
Complete documentation for ufRisk
Functions, R codes and Examples using the ufRisk R package
Some associated functions: ESTX . WMT . covtest . lossfunc . plot.ufRisk . print.ufRisk . trafftest . ufRisk . varcast . 
Some associated R codes: ESTX.R . WMT.R . Welcome.R . covtest.R . lossfunc.R . plot.ufRisk.R . print.ufRisk.R . trafftest.R . ufRisk.R . varcast.R .  Full ufRisk package functions and examples
Downloads during the last 30 days
03/0203/0303/0403/0503/0603/0703/0803/0903/1003/1103/1203/1303/1403/1503/1603/1703/1803/1903/2003/2103/2203/2303/2403/2503/2603/2703/2803/2903/3003/31Downloads for ufRisk024681012141618202224TrendBars

Today's Hot Picks in Authors and Packages

binom  
Binomial Confidence Intervals for Several Parameterizations
Constructs confidence intervals on the probability of success in a binomial experiment via several ...
Download / Learn more Package Citations See dependency  
CodeDepends  
Analysis of R Code for Reproducible Research and Code Comprehension
Tools for analyzing R expressions or blocks of code and determining the dependencies between them. ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
pirate  
Generated Effect Modifier
An implementation of the generated effect modifier (GEM) method. This method constructs composite va ...
Download / Learn more Package Citations See dependency  
Maintainer: Zhe Su (view profile)
munfold  
Metric Unfolding
Multidimensional unfolding using Schoenemann's algorithm for metric and Procrustes rotation of unfo ...
Download / Learn more Package Citations See dependency  
geonapi  
'GeoNetwork' API R Interface
Provides an R interface to the 'GeoNetwork' API () allowing ...
Download / Learn more Package Citations See dependency  

23,990

R Packages

207,311

Dependencies

64,809

Author Associations

23,991

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA