Other packages > Find by keyword >

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]
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 16 Mar. 2025.
Previous versions and publish date:
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
Downloads during the last 30 days
02/1402/1502/1602/1702/1802/1902/2002/2102/2202/2302/2402/2502/2602/2702/2803/0103/0203/0303/0403/0503/0603/0703/0803/1003/1103/1203/1303/1403/15Downloads for riskSimul0246810121416182022242628TrendBars

Today's Hot Picks in Authors and Packages

RCALI  
Calculation of the Integrated Flow of Particles Between Polygons
Calculate the flow of particles between polygons by two integration methods: integration by a cubat ...
Download / Learn more Package Citations See dependency  
latentFactoR  
Data Simulation Based on Latent Factors
Generates data based on latent factor models. Data can be continuous, polytomous, dichotomous, or mi ...
Download / Learn more Package Citations See dependency  
inventorize  
Inventory Analytics, Pricing and Markdowns
Simulate inventory policies with and without forecasting, facilitate inventory analysis calculations ...
Download / Learn more Package Citations See dependency  
ggtrace  
Trace and Highlight Groups of Data Points
Provides 'ggplot2' geoms that allow groups of data points to be outlined or highlighted for emphasi ...
Download / Learn more Package Citations See dependency  
UnitStat  
Performs Unit Root Test Statistics
A test to understand the stability of the underlying stochastic data. Helps the user’s understand ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

23,842

R Packages

207,311

Dependencies

64,420

Author Associations

23,781

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA