Learn R Programming

ExtremeRisks (version 0.0.5)

Extreme Risk Measures

Description

A set of procedures for estimating risks related to extreme events via risk measures such as Expectile, Value-at-Risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The methodology is extended to the case of independent multidimensional observations. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals, confidence regions and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2022) , Davison et al. (2023) , Daouia et al. (2018) , Drees (2000) , Drees (2003) , de Haan and Ferreira (2006) , de Haan et al. (2016) , Padoan and Rizzelli (2024) , Daouia et al. (2024) .

Copy Link

Version

Install

install.packages('ExtremeRisks')

Monthly Downloads

213

Version

0.0.5

License

GPL (>= 2)

Maintainer

Simone Padoan

Last Published

October 9th, 2025

Functions in ExtremeRisks (0.0.5)

Marginal Expected Shortfall Quantile Based Estimation

Expectile Computation

estMultiExpectiles

Multidimensional High Expectile Estimation

Conditional Bayesian extreme quantile

Bayesian extreme quantile

Estimation of generalized Pareto distributions

Negative log-returns of DOW JONES.

extMultiQuantile

Multidimensional Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation

High Expectile Estimation

Estimation of the scedasis function

Extreme Level Estimation

predMultiExpectiles

Multidimensional Extreme Expectile Estimation

Predictive posterior density of peak-over-threshold models

Simulation of Two-Dimensional Temporally Dependent Observations

Predictive quantile based on the generalized Pareto model

Conditional predictive posterior density of peaks-over-threshold models

Plot empirical Bayes inference results for continuous and discrete generalized Pareto distribution

Maximum likelihood estimation of the parameters of the discrete generalized Pareto distribution

Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation

Predictive quantile of peaks-over-threshold models

Extreme Expectile Estimation

Test on the effect of concomitant covariate on the extremes of the response variable

Simulation of One-Dimensional Temporally Dependent Observations

Simulation of \(d\)-Dimensional Temporally Independent Observations

schedastic.test

Test on the effect of concomitant covariate on the extremes of the response variable

Test on tail homogeneity

Negative log-returns of S&P 500.

Moment based Tail Index Estimation

Maximum Likelihood Tail Index Estimation

Bayesian predictive quantile for generalized Pareto distribution

Wald-Type Hypothesis Testing

MultiHTailIndex

Multidimensional Hill Tail Index Estimation

Hill Tail Index Estimation

Marginal Expected Shortfall Expectile Based Estimation

Expectile Based Tail Index Estimation

Bayesian predictive quantile for discrete generalized Pareto distribution