riskSimul (Q111112)
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Risk Quantification for Stock Portfolios under the T-Copula Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | riskSimul |
Risk Quantification for Stock Portfolios under the T-Copula Model |
Statements
16 September 2023
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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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