riskSimul
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.2 |
rolling linux/jammy R-4.5 | riskSimul_0.1.2.tar.gz |
61.7 KiB |
0.1.2 |
rolling linux/noble R-4.5 | riskSimul_0.1.2.tar.gz |
61.7 KiB |
0.1.2 |
rolling source/ R- | riskSimul_0.1.2.tar.gz |
11.1 KiB |
0.1.2 |
latest linux/jammy R-4.5 | riskSimul_0.1.2.tar.gz |
61.7 KiB |
0.1.2 |
latest linux/noble R-4.5 | riskSimul_0.1.2.tar.gz |
61.7 KiB |
0.1.2 |
latest source/ R- | riskSimul_0.1.2.tar.gz |
11.1 KiB |
0.1.2 |
2026-04-26 source/ R- | riskSimul_0.1.2.tar.gz |
11.1 KiB |
0.1.2 |
2026-04-23 source/ R- | riskSimul_0.1.2.tar.gz |
11.1 KiB |
0.1.2 |
2026-04-09 windows/windows R-4.5 | riskSimul_0.1.2.zip |
64.2 KiB |
0.1.2 |
2025-04-20 source/ R- | riskSimul_0.1.2.tar.gz |
11.1 KiB |