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riskSimul  

Risk Quantification for Stock Portfolios under the T-Copula Model
View on CRAN: Click here


Download and install riskSimul package within the R console
Install from CRAN:
install.packages("riskSimul")

Install from Github:
library("remotes")
install_github("cran/riskSimul")

Install by package version:
library("remotes")
install_version("riskSimul", "0.1.2")



Attach the package and use:
library("riskSimul")
Maintained by
Wolfgang Hormann
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2014-11-09
Latest Update: 2023-09-16
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.
How to cite:
Wolfgang Hormann (2014). riskSimul: Risk Quantification for Stock Portfolios under the T-Copula Model. R package version 0.1.2, https://cran.r-project.org/web/packages/riskSimul. Accessed 06 Aug. 2026.
Previous versions and publish date:
(2026-07-09 06:51), 0.1.1 (2022-04-16 09:30), 0.1 (2014-11-09 13:06)
Other packages that cited riskSimul R package
View riskSimul citation profile
Other R packages that riskSimul depends, imports, suggests or enhances
Complete documentation for riskSimul
Functions, R codes and Examples using the riskSimul R package
Some associated functions: SISTCopula . riskSimul . 
Some associated R codes: marketRisk.R .  Full riskSimul package functions and examples
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