The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

atRisk: At-Risk

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) <doi:10.1257/aer.20161923> 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.

Version: 0.1.0
Depends: R (≥ 3.5.0)
Imports: stats, quantreg, sn, dfoptim, ggplot2, ggridges
Published: 2023-08-08
DOI: 10.32614/CRAN.package.atRisk
Author: Quentin Lajaunie [aut, cre], Guillaume Flament [aut, ctb], Christophe Hurlin [aut], Souzan Kazemi [rev]
Maintainer: Quentin Lajaunie <quentin_lajaunie at hotmail.fr>
License: GPL-3
NeedsCompilation: no
In views: ActuarialScience
CRAN checks: atRisk results

Documentation:

Reference manual: atRisk.pdf

Downloads:

Package source: atRisk_0.1.0.tar.gz
Windows binaries: r-devel: atRisk_0.1.0.zip, r-release: atRisk_0.1.0.zip, r-oldrel: atRisk_0.1.0.zip
macOS binaries: r-release (arm64): atRisk_0.1.0.tgz, r-oldrel (arm64): atRisk_0.1.0.tgz, r-release (x86_64): atRisk_0.1.0.tgz, r-oldrel (x86_64): atRisk_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=atRisk to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.