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.
|Author||Wolfgang Hormann, Ismail Basoglu|
|Date of publication||2014-11-09 13:06:05|
|Maintainer||Wolfgang Hormann <email@example.com>|
|License||GPL-2 | GPL-3|
|Package repository||View on CRAN|
Install the latest version of this package by entering the following in R:
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.