Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

cvgtest | Unconditional and Conditional Coverage Tests, Independence... |

DAX | German Stock Market Index (DAX) Financial Time Series Data |

DJI | Dow Jones Industrial Average (DJI) Financial Time Series Data |

ewma | Exponentially weighted moving average |

fhs | Filtered historical simulation |

FTSE100 | Financial Times Stock Exchange Index (FTSE) Financial Time... |

hs | Nonparametric calculation of univariate Value at Risk and... |

HSI | Hang Seng Index (HSI) Financial Time Series Data |

lossfun | Loss Functions |

NIK225 | Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data |

plop | Profit & Loss operator function |

plot.quarks | Plot Method for the Package 'quarks' |

print.quarks | Print Method for the Package 'quarks' |

rollcast | Rolling one-step ahead forecasts of Value at Risk and... |

runFTSdata | Application for downloading data from Yahoo Finance |

SP500 | Standard and Poor's (SP500) Financial Time Series Data |

trftest | Backtesting of Value-at-Risk via Traffic Light Test |

vwhs | Volatility weighted historical simulation |

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