riskSimul (0.1)

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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.

Maintainer: Wolfgang Hormann
Author(s): Wolfgang Hormann, Ismail Basoglu

License: GPL-2 | GPL-3

Uses: Runuran

Released about 5 years ago.



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