hs {quarks}

Nonparametric calculation of univariate Value at Risk and Expected Shortfall

Description

Computes Value at Risk and Expected Shortfall (Conditional Value at Risk) by means of plain and age-weighted historical simulation.

Usage

hs(x, p = 0.975, method = c("age", "plain"), lambda = 0.98)

Arguments

x

a numeric vector of asset returns

p

confidence level for VaR calculation; default is 0.975

method

method to be used for calculation; default is 'plain'

lambda

decay factor for the calculation of weights; default is 0.98

Value

Returns a list with the following elements:

VaR

Calculated Value at Risk

ES

Calculated Expected Shortfall (Conditional Value at Risk)

p

Confidence level for VaR calculation

Examples

prices <- DAX$price_close
returns <- diff(log(prices))
hs(x = returns, p = 0.975, method = 'plain')
hs(x = returns, p = 0.975, method = 'age', lambda = 0.98)