quarks

Last update 10 January 2026

Copyright license GNU General Public License, version 3.0

Software version identifier 1.1.3, PACKAGES.rds, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.0.4, 1.0.5, 1.0.6, 1.0.7, 1.0.8, 1.0.9, 1.0.10, 1.0.11, 1.1.0, 1.1.1, 1.1.2, 1.1.4, 1.1.5, 1.1.6

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>.

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