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 = 'https://cloud.r-project.org')

On CRAN:

Conda:

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 192 downloads 3 exports 1 dependencies

Last updated 2 years agofrom:47f12e998a. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 24 2025
R-4.5-linuxOKMar 24 2025
R-4.4-linuxOKMar 24 2025

Exports:new.portfobjNVTCopulaSISTCopula

Dependencies:Runuran

Citation

To cite package ‘riskSimul’ in publications use:

Hormann W, Basoglu I (2023). riskSimul: Risk Quantification for Stock Portfolios under the T-Copula Model. R package version 0.1.2, https://CRAN.R-project.org/package=riskSimul.

Corresponding BibTeX entry: 

  @Manual{,
    title = {riskSimul: Risk Quantification for Stock Portfolios under
      the T-Copula Model},
    author = {Wolfgang Hormann and Ismail Basoglu},
    year = {2023},
    note = {R package version 0.1.2},
    url = {https://CRAN.R-project.org/package=riskSimul},
  }