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>.
|Author||Sebastian Letmathe [aut, cre] (Paderborn University, Germany)|
|Maintainer||Sebastian Letmathe <email@example.com>|
|Package repository||View on CRAN|
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