quarks (Q98181)
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Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | quarks |
Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall |
Statements
10 January 2026
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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>.
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