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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.
Package details |
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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 |
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