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 |
| Depends: | Runuran |
| Published: | 2014-11-09 |
| 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 |
| Reference manual: | riskSimul.pdf |
| Package source: | riskSimul_0.1.tar.gz |
| Windows binaries: | r-devel: riskSimul_0.1.zip, r-release: riskSimul_0.1.zip, r-oldrel: riskSimul_0.1.zip |
| macOS binaries: | r-release: riskSimul_0.1.tgz, r-oldrel: riskSimul_0.1.tgz |
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