riskSimul
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Software:111112
CRANriskSimulMaRDI QIDQ111112FDOQ111112
Risk Quantification for Stock Portfolios under the T-Copula Model
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
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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