riskSimul (version 0.1.2)

Risk Quantification for Stock Portfolios under the T-Copula Model

Description

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

install.packages('riskSimul')

Monthly Downloads

307

Version

0.1.2

License

GPL-2 | GPL-3

Last Published

September 16th, 2023

Functions in riskSimul (0.1.2)