ufRisk

cranv1.0.7

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

License GPL-3strong copyleft0 versions1 maintainers6 deps86 weekly dl
https://CRAN.R-project.org/package=ufRisk
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  • Low health score (33/100)
Health breakdown0 – 100
0/25
maintenance
0/20
popularity
25/25
security
6/15
maturity
2/15
community
Vulnerabilities
0
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First published · 2023-10-22 09:33:32

Last updated · 2023-10-22T07:10:02+00:00

ufRisk — Health Score 33/100 | DepScope