ufRisk

Risk Measure Calculation in Financial TS

Dominik Schulz, Sebastian Letmathe, Xuehai Zhang, Christian Peitz, Shujie Li, Yuanhua Feng

Last update: 22 October 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.6, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.0.4, 1.0.5, 1.0.7

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>.

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