[R-SIG-Finance] Gaussian Copula Simulation

[Chien, Josh-CH]

Dear R-User,
Just confirm my idea that rmvnrom function from mvtnorm library is equal to function of Gaussian Copula Simulation with correlation matrix ? If not, which library has such function for Gaussian Copula Simulation ?
Thanks a lot.


______________________________________
JOSH CHIEN
Risk Analytics & Projects
Enterprise Risk Management (ERM) Dept.
Nan Shan Life Insurance Co.
Email: Josh-CH.Chien at NANSHAN.com.tw<mailto:%20Josh-CH.Chien at NANSHAN.com.tw>
DID: +886-2-8758-9522


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