riskSimul0.1.2 package

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.

  • Maintainer: Wolfgang Hormann
  • License: GPL-2 | GPL-3
  • Last published: 2023-09-16