At-Risk
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Documentation for package ‘atRisk’ version 0.2.0
Help Pages
| data_euro | Historical data for the eurozone (GDP and Financial Conditions) from 2008:Q4 to 2022:Q3 |
| data_param_histo_US | Historical parameters (skew-t) for the US from 1973:Q1 to 2020:Q1 |
| data_US | Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2020:Q1 |
| f_compile_quantile | Estimation of quantiles |
| f_distrib | Distribution |
| f_ES | Expected Shortfall |
| f_histo_RM | Historical parameters |
| f_nadaraya_watson_quantile | Estimation of quantiles using the Nadaraya-Watson estimator with a product kernel |
| f_plot_distrib_2D | Plot of historical distributions in 2D |
| f_plot_distrib_3D | Plot of historical distributions in 3D |
| f_VaR | Value-at-Risk |