quarks: Simple Methods for Calculating 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 methods of the package are described in Gurrola-Perez, P. and Murphy, D. (2015) <https://EconPapers.repec.org/RePEc:boe:boeewp:0525>.

Getting started

Package details

AuthorSebastian Letmathe [aut, cre] (Paderborn University, Germany)
MaintainerSebastian Letmathe <sebastian.letmathe@uni-paderborn.de>
LicenseGPL-3
Version1.0.9
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("quarks")

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quarks documentation built on Sept. 6, 2021, 9:07 a.m.