riskSimul: Risk Quantification for Stock Portfolios under the T-Copula Model

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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.

Author
Wolfgang Hormann, Ismail Basoglu
Date of publication
2014-11-09 13:06:05
Maintainer
Wolfgang Hormann <hormannw@boun.edu.tr>
License
GPL-2 | GPL-3
Version
0.1

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Man pages

riskSimul
Risk Quantification for Stock Portfolios under the T-Copula...
SISTCopula
Efficient tail-loss probability and conditional excess...

Files in this package

riskSimul
riskSimul/NAMESPACE
riskSimul/R
riskSimul/R/marketRisk.R
riskSimul/MD5
riskSimul/DESCRIPTION
riskSimul/man
riskSimul/man/riskSimul.Rd
riskSimul/man/SISTCopula.Rd