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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| r-oldrel-windows-x86_64 | OK |
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| r-release-macos-arm64 | OK |
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| r-release-windows-x86_64 | OK |
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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0.1.2
Mar 10, 2026