quarks: Simple Methods for Calculating and Backtesting Value at Risk and
Expected Shortfall
Enables the user to calculate Value at Risk (VaR)
and Expected Shortfall (ES) by means of various types of historical
simulation. Currently plain-, age-, volatility-weighted- and filtered
historical simulation are implemented in this package. Volatility weighting
can be carried out via an exponentially weighted moving average model
(EWMA) or other GARCH-type models. The performance can be assessed via
Traffic Light Test, Coverage Tests and Loss Functions. The methods of the
package are described in Gurrola-Perez, P. and Murphy, D. (2015)
<https://EconPapers.repec.org/RePEc:boe:boeewp:0525> as well as McNeil, J.,
Frey, R., and Embrechts, P. (2015) <https://ideas.repec.org/b/pup/pbooks/10496.html>.
| Version: |
1.1.5 |
| Depends: |
R (≥ 2.10) |
| Imports: |
dygraphs, ggplot2, graphics, progress, rugarch, shiny, shinyjs, smoots, stats, yfR, xts |
| Published: |
2025-10-13 |
| DOI: |
10.32614/CRAN.package.quarks |
| Author: |
Sebastian Letmathe [aut, cre] |
| Maintainer: |
Sebastian Letmathe <sebastian.let at yahoo.com> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
quarks results |
Documentation:
Downloads:
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