Type: Package
Package: quarks
Title: Simple Methods for Calculating and Backtesting Value at Risk and
        Expected Shortfall
Version: 1.1.6
Authors@R: 
    person(given = "Sebastian",
           family = "Letmathe",
           role = c("aut", "cre"),
           email = "sebastian.let@yahoo.com")
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: dygraphs, ggplot2, graphics, progress, rugarch, shiny,
        shinyjs, smoots, stats, yfR, xts
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.3
NeedsCompilation: no
Packaged: 2026-01-10 12:31:43 UTC; Letmode
Author: Sebastian Letmathe [aut, cre]
Maintainer: Sebastian Letmathe <sebastian.let@yahoo.com>
Repository: CRAN
Date/Publication: 2026-01-10 12:50:02 UTC
Built: R 4.6.0; ; 2026-04-25 13:49:50 UTC; unix
