Type: Package
Package: quarks
Title: Simple Methods for Calculating and Backtesting Value at Risk and
        Expected Shortfall
Version: 1.1.0
Authors@R: 
    person(given = "Sebastian",
           family = "Letmathe",
           role = c("aut", "cre"),
           email = "sebastian.letmathe@uni-paderborn.de",
           comment = "Paderborn University, Germany")
Description: 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>.
License: GPL-3
Depends: R (>= 2.10)
Imports: graphics, progress, rugarch, smoots, stats
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.1
NeedsCompilation: no
Packaged: 2022-03-30 16:42:52 UTC; Letmode
Author: Sebastian Letmathe [aut, cre] (Paderborn University, Germany)
Maintainer: Sebastian Letmathe <sebastian.letmathe@uni-paderborn.de>
Repository: CRAN
Date/Publication: 2022-03-30 23:00:02 UTC
Built: R 4.0.5; ; 2022-03-31 10:53:48 UTC; unix
