CRAN/E | validateRS

validateRS

One-Sided Multivariate Testing Procedures for Rating Systems

Installation

About

An implementation of statistical tests for the validation of rating systems as described in the ECB Working paper ”Advances in multivariate back-testing for credit risk underestimation”, by F. Coppens, M. Mayer, L. Millischer, F. Resch, S. Sauer, K. Schulze (ECB WP series, forthcoming).

Key Metrics

Version 1.0.0
Published 2015-12-26 3016 days ago
Needs compilation? no
License EUPL
CRAN checks validateRS results

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Maintainer

Maintainer

Coppens F.

francois.coppens@nbb.be

Authors

Coppens F.
Mayer M.
Millischer L.
Resch F.
Sauer S.
Schulze K.

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

truncnorm
triangle
reshape2
data.table