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.


Reference manual

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0.1 by Wolfgang Hormann, 7 years ago

Browse source code at https://github.com/cran/riskSimul

Authors: Wolfgang Hormann , Ismail Basoglu

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-2 | GPL-3 license

Depends on Runuran

See at CRAN