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

Package details

AuthorWolfgang Hormann, Ismail Basoglu
MaintainerWolfgang Hormann <hormannw@boun.edu.tr>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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riskSimul documentation built on April 16, 2022, 9:05 a.m.