riskSimul: Risk Quantification for Stock Portfolios under the T-Copula Model
Version 0.1

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
Date of publication2014-11-09 13:06:05
MaintainerWolfgang Hormann <[email protected]>
LicenseGPL-2 | GPL-3
Version0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("riskSimul")

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riskSimul documentation built on May 29, 2017, 3:12 p.m.