riskSimul: 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.

Version: 0.1.2
Depends: Runuran
Published: 2023-09-16
DOI: 10.32614/CRAN.package.riskSimul
Author: Wolfgang Hormann [aut, cre], Ismail Basoglu [aut]
Maintainer: Wolfgang Hormann <hormanngw at yahoo.com>
License: GPL-2 | GPL-3
Copyright: Wolfgang Hormann
NeedsCompilation: no
In views: Finance
CRAN checks: riskSimul results


Reference manual: riskSimul.pdf


Package source: riskSimul_0.1.2.tar.gz
Windows binaries: r-devel: riskSimul_0.1.2.zip, r-release: riskSimul_0.1.2.zip, r-oldrel: riskSimul_0.1.2.zip
macOS binaries: r-release (arm64): riskSimul_0.1.2.tgz, r-oldrel (arm64): riskSimul_0.1.2.tgz, r-release (x86_64): riskSimul_0.1.2.tgz, r-oldrel (x86_64): riskSimul_0.1.2.tgz
Old sources: riskSimul archive


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