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:	0.1.1
Depends:	Runuran
Published:	2022-04-16
Author:	Wolfgang Hormann, Ismail Basoglu
Maintainer:	Wolfgang Hormann <hormannw at boun.edu.tr>
License:	GPL-2 | GPL-3
Copyright:	Wolfgang Hormann
NeedsCompilation:	no
In views:	Finance
CRAN checks:	riskSimul results

Documentation:

Reference manual:

riskSimul.pdf

Downloads:

Package source:	riskSimul_0.1.1.tar.gz
Windows binaries:	r-devel: riskSimul_0.1.1.zip, r-release: riskSimul_0.1.1.zip, r-oldrel: riskSimul_0.1.1.zip
macOS binaries:	r-release (arm64): riskSimul_0.1.tgz, r-oldrel (arm64): riskSimul_0.1.1.tgz, r-release (x86_64): riskSimul_0.1.tgz, r-oldrel (x86_64): riskSimul_0.1.1.tgz
Old sources:	riskSimul archive

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