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>.
