riskSimul

MaRDI QIDQ111112CRANFDO

Authors Ismail Basoglu, Wolfgang Hormann

Last update 16 September 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.1.1, 0.1, 0.1.2

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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