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>.
