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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
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Package details |
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| Author | Wolfgang Hormann, Ismail Basoglu |
| Maintainer | Wolfgang Hormann <hormannw@boun.edu.tr> |
| License | GPL-2 | GPL-3 |
| Version | 0.1 |
| Package repository | View on CRAN |
| Installation |
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