riskSimul | R Documentation |

This package can estimate the 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.

`SISTCopula()`

is the name of the function that uses stratified importance sampling (SIS) to estimate
a single or several tailloss probabilities and the corresponding conditional excess in a very efficient way.

`NVTCopula()`

estimates the same quantities using naive simulation (without variance reduction).

Package: | |

Type: | Package |

Version: | 0.1 |

Date: | 2014-11-07 |

License: | GPL-2 | GPL-3 |

Copyright: | Wolfgang Hormann |

Wolfgang Hormann, Ismail Basoglu

I Basoglu, W Hormann. 2014. Efficient stratified sampling implementations in multiresponse simulation, in: Proceedings of the 2014 Winter Simulation Conference A. Tolk, S. Y. Diallo, I. O. Ryzhov, L. Yilmaz, S. Buckley, and J. A. Miller, eds.

I Basoglu, W. Hormann, and H. Sak. 2013. Optimally Stratified Importance Sampling for Portfolio Risk with Multiple Loss Thresholds. Optimization 62 (11): 1451-1471

R<- matrix( c(1, 0.554, 0.632, 0.419, 0.400, 0.554,1, 0.495, 0.540, 0.479, 0.632,0.495, 1, 0.426, 0.445, 0.419,0.540, 0.426, 1, 0.443, 0.400,0.479, 0.445, 0.443, 1),ncol=5) pmg<- matrix(NA,ncol=5,nrow=5) colnames(pmg) <- c("lambda","alpha","beta","delta","mu") pmg[1,] <- c(-0.602828, 8.52771, -0.533197, 0.014492, -0.000091) pmg[2,] <- c(-1.331923, 2.72759, -2.573416, 0.019891, 0.001388) pmg[3,] <- c(-1.602705, 3.26482, 1.456542, 0.035139, -0.001662) pmg[4,] <- c(-1.131092, 15.13351, -1.722396, 0.014771, 0.001304) pmg[5,] <- c(-0.955118, 31.14005, 0.896576, 0.015362, -0.000238) portfo <- new.portfobj(nu=8.195,R=R,typemg="GH",parmg=pmg,c=rep(1,5),w=rep(0.2,5)) res1<- SISTCopula(n=10^4,npilot=c(10^3,3*10^3),portfobj=portfo,threshold=c(0.97,0.96,0.95,0.94), stratasize=c(22,22),CEopt=FALSE,beta=0.75,mintype=0)

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