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quarks  

Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall
View on CRAN: Click here


Download and install quarks package within the R console
Install from CRAN:
install.packages("quarks")

Install from Github:
library("remotes")
install_github("cran/quarks")

Install by package version:
library("remotes")
install_version("quarks", "1.1.4")



Attach the package and use:
library("quarks")
Maintained by
Sebastian Letmathe
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-02-17
Latest Update: 2022-08-31
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) as well as McNeil, J., Frey, R., and Embrechts, P. (2015) .
How to cite:
Sebastian Letmathe (2021). quarks: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall. R package version 1.1.4, https://cran.r-project.org/web/packages/quarks. Accessed 21 Dec. 2024.
Previous versions and publish date:
1.0.0 (2021-02-17 21:30), 1.0.1 (2021-02-18 13:30), 1.0.2 (2021-02-20 02:20), 1.0.3 (2021-02-20 14:30), 1.0.4 (2021-02-21 15:40), 1.0.5 (2021-03-01 17:30), 1.0.6 (2021-04-25 23:00), 1.0.7 (2021-09-02 16:20), 1.0.8 (2021-09-03 01:30), 1.0.9 (2021-09-06 08:40), 1.0.10 (2021-11-21 18:00), 1.0.11 (2022-01-09 16:22), 1.1.0 (2022-03-31 01:00), 1.1.1 (2022-06-13 10:30), 1.1.2 (2022-06-20 12:00), 1.1.3 (2022-08-31 22:00)
Other packages that cited quarks R package
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Complete documentation for quarks
Functions, R codes and Examples using the quarks R package
Some associated functions: DAX . DJI . FTSE100 . HSI . NIK225 . SP500 . cvgtest . ewma . fhs . hs . lossfun . plop . plot.quarks . print.quarks . rollcast . runFTSdata . trftest . vwhs . 
Some associated R codes: DAX.R . DJI.R . FTSE100.R . HSI.R . NIK225.R . SP500.R . Welcome.R . cvgtest.R . ewma.R . fhs.R . hs.R . lossfun.R . plop.R . plot.quarks.R . print.quarks.R . rollcast.R . runFTSdata.R . trftest.R . vwhs.R .  Full quarks package functions and examples
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