Package: atRisk
Title: At-Risk
Version: 0.2.0
Authors@R: c(person("Quentin", "Lajaunie", role = c("aut", "cre"),
                     email = "quentin_lajaunie@hotmail.fr"),
              person("Guillaume", "Flament", role = c("aut", "ctb"), email="g.f.flament@gmail.com"),
              person("Christophe", "Hurlin", role = "aut", email="christophe.hurlin@univ-orleans.fr"),
              person("Souzan","Kazemi", role="rev"))
Description: 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.
Depends: R (>= 3.5.0)
License: GPL-3
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.2.3
Date: 2025-01-07
Imports: stats, quantreg, sn, dfoptim, ggplot2, ggridges
Author: Quentin Lajaunie [aut, cre],
  Guillaume Flament [aut, ctb],
  Christophe Hurlin [aut],
  Souzan Kazemi [rev]
Maintainer: Quentin Lajaunie <quentin_lajaunie@hotmail.fr>
NeedsCompilation: no
Packaged: 2025-01-14 18:06:08 UTC; quentin.lajaunie_ver
Repository: CRAN
Date/Publication: 2025-01-14 18:50:01 UTC
Built: R 4.3.3; ; 2025-01-14 20:25:55 UTC; unix
