Type: Package
Package: quarks
Title: Simple Methods for Calculating Value at Risk and Expected
        Shortfall
Version: 1.0.9
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 methods of the package are described in 
    Gurrola-Perez, P. and Murphy, D. (2015)
    <https://EconPapers.repec.org/RePEc:boe:boeewp:0525>.
License: GPL-3
Depends: R (>= 2.10)
Imports: rugarch, graphics, stats
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.1
NeedsCompilation: no
Packaged: 2021-09-05 17:24:15 UTC; Letmode
Author: Sebastian Letmathe [aut, cre] (Paderborn University, Germany)
Maintainer: Sebastian Letmathe <sebastian.letmathe@uni-paderborn.de>
Repository: CRAN
Date/Publication: 2021-09-06 06:40:02 UTC
