Risk Quantification for Stock Portfolios under the T-Copula Model

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.


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install.packages("riskSimul")

0.1 by Wolfgang Hormann, 5 years ago


Browse source code at https://github.com/cran/riskSimul


Authors: Wolfgang Hormann , Ismail Basoglu


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-2 | GPL-3 license


Depends on Runuran


See at CRAN