| Name : R-quarks
| |
| Version : 1.1.4
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : 3.1
| Date : 2024-09-23 20:34:04
|
| Group : Development/Libraries/Other
| Source RPM : R-quarks-1.1.4-3.1.src.rpm
|
| Size : 3.29 MB
| |
| Packager : (none)
| |
| Summary : Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall
|
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>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/x86_64 |
