Package: riskSimul 0.1.2
Wolfgang Hormann
riskSimul: 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.
Authors:
riskSimul_0.1.2.tar.gz
riskSimul_0.1.2.tar.gz(r-4.7-any)riskSimul_0.1.2.tar.gz(r-4.6-any)
riskSimul_0.1.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
riskSimul/json (API)
| # Install 'riskSimul' in R: |
| install.packages('riskSimul', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:47f12e998a. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 104 | ||
| source / vignettes | OK | 138 | ||
| linux-release-x86_64 | OK | 101 | ||
| wasm-release | OK | 128 |
Exports:new.portfobjNVTCopulaSISTCopula
Dependencies:Runuran
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Risk Quantification for Stock Portfolios under the T-Copula Model | riskSimul-package riskSimul |
| Efficient tail-loss probability and conditional excess estimation for t-copula model | new.portfobj NVTCopula SISTCopula |