simshocks: Simulation of Gaussian shocks for risk factors
View source: R/simulations_shocks.R
| simshocks | R Documentation |
Simulation of Gaussian shocks for risk factors
Description
Generates Gaussian shocks for simulating risk factors using various methods including classic Monte Carlo, antithetic variates, moment matching, and hybrid approaches.
Usage
simshocks(
n,
horizon,
frequency = c("annual", "semi-annual", "quarterly", "monthly", "weekly", "daily"),
method = c("classic", "antithetic", "mm", "hybridantimm", "TAG"),
family = NULL,
par = NULL,
par2 = rep(0, length(par)),
RVM = NULL,
type = c("CVine", "DVine", "RVine"),
start = NULL,
seed = 123
)
Arguments
n |
Number of simulations/scenarios |
horizon |
Time horizon for simulation |
frequency |
Frequency of observations: "annual", "semi-annual", "quarterly", "monthly", "weekly", or "daily" |
method |
Simulation method: "classic", "antithetic", "mm" (moment matching), "hybridantimm" (hybrid antithetic-moment matching), or "TAG" |
family |
Vector of copula families (optional) |
par |
Vector of copula parameters (optional) |
par2 |
Vector of second copula parameters (optional) |
RVM |
RVineMatrix object for R-vine copula (optional) |
type |
Type of vine copula: "CVine", "DVine", or "RVine" |
start |
Starting time (optional) |
seed |
Random seed for reproducibility |
Details
The function generates Gaussian shocks that can be used for simulating various risk factors. Different simulation methods are available:
"classic": Standard Monte Carlo simulation
"antithetic": Uses antithetic variates to reduce variance
"mm": Moment matching to improve statistical properties
"hybridantimm": Combines antithetic variates and moment matching
"TAG": Taguchi method
When using copulas (by specifying family and par), the function supports C-vine, D-vine, and R-vine copula structures.
Value
A time series object containing the simulated Gaussian shocks
Examples
# Generate shocks using classic Monte Carlo
shocks <- simshocks(n = 1000, horizon = 5, frequency = "quarterly")
# Generate shocks using antithetic variates
shocks_antithetic <- simshocks(n = 1000, horizon = 5, frequency = "quarterly",
method = "antithetic")
# Generate shocks using C-vine copula
shocks_copula <- simshocks(n = 1000, horizon = 5, frequency = "quarterly",
family = c(1, 1), par = c(0.5, 0.3),
type = "CVine")
