Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall
Unconditional and Conditional Coverage Tests, Independence Test
Exponentially weighted moving average
Filtered historical simulation
Nonparametric calculation of univariate Value at Risk and Expected Sho...
Loss Functions
Profit & Loss operator function
Plot Method for the Package 'quarks'
Print Method for the Package 'quarks'
Rolling one-step ahead forecasts of Value at Risk and Expected Shortfa...
Application for downloading data from Yahoo Finance
Backtesting of Value-at-Risk via Traffic Light Test
Volatility weighted historical simulation
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>.