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|
|Maintainer||Wolfgang Hormann <[email protected]>|
|License||GPL-2 | GPL-3|
|Package repository||View on CRAN|
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