riskSimul
Risk Quantification for Stock Portfolios under the T-Copula Model
v0.1.2
·
Sep 16, 2023
·
GPL-2 | GPL-3
Description
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.
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