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:Wolfgang Hormann [aut, cre], Ismail Basoglu [aut]

riskSimul_0.1.2.tar.gz
riskSimul_0.1.2.tar.gz(r-4.5-noble)riskSimul_0.1.2.tar.gz(r-4.4-noble)
riskSimul_0.1.2.tgz(r-4.4-emscripten)riskSimul_0.1.2.tgz(r-4.3-emscripten)
riskSimul.pdf |riskSimul.html
riskSimul/json (API)

# Install 'riskSimul' in R:
install.packages('riskSimul', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.48 score 3 stars 2 scripts 175 downloads 3 exports 1 dependencies

Last updated 1 years agofrom:47f12e998a. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 24 2024
R-4.5-linuxOKDec 24 2024

Exports:new.portfobjNVTCopulaSISTCopula

Dependencies:Runuran