>Hello R users:
>I wonder if somebody can be kind enough to share some
>information about rare event simulation, e.g. referecne,
>coding, packages.
Hello Wei-han,
do you mean by rare event simulation extreme value theory (EVT) and risk
measures like VaR and ES? If so, the following CRAN-packages might be of
interest to you:
evd, fExtremes, ismev, POT, QRMlib and VaR
Have a look at the "Finance" task view (bullet point "Risk management")
on CRAN.
Best,
Bernhard
>Many thanks to your attention.
>Wei-han Liu
>
>
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