CRAN/E | riskSimul

riskSimul

Risk Quantification for Stock Portfolios under the T-Copula Model

Installation

About

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.

Copyright Wolfgang Hormann

Key Metrics

Version 0.1.2
Published 2023-09-16 231 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks riskSimul results

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Maintainer

Maintainer

Wolfgang Hormann

hormanngw@yahoo.com

Authors

Wolfgang Hormann

aut / cre

Ismail Basoglu

aut

Material

Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

riskSimul archive

Depends

Runuran