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 |
Please use the canonical form https://CRAN.R-project.org/package=riskSimul to link to this page.