f_VaR

The function allows to calculate Value-at-Risk for a given distribution. It takes as parameters alpha (risk level), a distribution and the parameters associated with this distribution. For example, for a normal distribution, the user must enter the mean and the standard deviation. Currently, the function can calculate the Value-at-Risk for the normal distribution and for the skew-t distribution (Azzalini and Capitianio, 2003)

The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-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 MaR 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.

Quentin Lajaunie

matrisk

Macroeconomic-at-Risk

Guillaume Flament

Christophe Hurlin

f_VaR function

<dl><dt>alpha</dt>
<dd>Numeric argument for Expected-Shortfall, between 0 and 1</dd>
<dt>dist</dt>
<dd>String for the type of distribution (gaussian or skew-t)</dd>
<dt>params</dt>
<dd>Numeric vector containing parameters of the distribution</dd></dl>

Arguments

Value-at-Risk — f_VaR

<dl>

<dt>alpha</dt>
<dd>Numeric argument for Expected-Shortfall, between 0 and 1</dd>


<dt>dist</dt>
<dd>String for the type of distribution (gaussian or skew-t)</dd>


<dt>params</dt>
<dd>Numeric vector containing parameters of the distribution</dd>

</dl>

f_VaR: Value-at-Risk

Description

Usage

Value

Arguments

References

Examples