One-Sided Multivariate Testing Procedures for Rating Systems

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).


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install.packages("validateRS")

1.0.0 by Coppens F., 2 years ago


Browse source code at https://github.com/cran/validateRS


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


Documentation:   PDF Manual  


EUPL license


Depends on truncnorm, triangle, reshape2, data.table


See at CRAN