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-4.5-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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 years agofrom:47f12e998a. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 25 2024 |
| R-4.5-linux | OK | Oct 25 2024 |
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 |