At-Risk


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Documentation for package ‘atRisk’ version 0.1.0

Help Pages

data_euro Historical data for the eurozone (GDP and Financial Conditions) from 2008:Q4 to 2022:Q3
data_param_histo Historical parameters (skew-t) for the US from 1973:Q1 to 2022:Q3
data_US Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3
f_compile_quantile Estimation of quantiles
f_distrib Distribution
f_ES Expected Shortfall
f_histo_RM Historical parameters and Risk Measures
f_param_histo Historical parameters
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