Nothing
riskSimul: Risk Quantification for Stock Portfolios under the T-Copula Model
Implements efficient simulation procedures to estimate tail loss probabilities and conditional excess for a stock portfolio. The log-returns are assumed to follow a t-copula model with generalized hyperbolic or t marginals.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Wolfgang Hormann [aut, cre], Ismail Basoglu [aut] |
| Maintainer | Wolfgang Hormann <hormanngw@yahoo.com> |
| License | GPL-2 | GPL-3 |
| Version | 0.1.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the riskSimul package in your browser
Any scripts or data that you put into this service are public.
