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.

Version: 0.1
Depends: Runuran
Published: 2014-11-09
Author: Wolfgang Hormann, Ismail Basoglu
Maintainer: Wolfgang Hormann <hormannw at boun.edu.tr>
License: GPL-2 | GPL-3
Copyright: Wolfgang Hormann
NeedsCompilation: no
In views: Finance
CRAN checks: riskSimul results


Reference manual: riskSimul.pdf
Package source: riskSimul_0.1.tar.gz
Windows binaries: r-devel: riskSimul_0.1.zip, r-release: riskSimul_0.1.zip, r-oldrel: riskSimul_0.1.zip
OS X El Capitan binaries: r-release: riskSimul_0.1.tgz
OS X Mavericks binaries: r-oldrel: riskSimul_0.1.tgz


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