OCA: Optimal Capital Allocations

Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014)<doi:10.1016/j.eswa.2014.05.017> and Urbina (2013)<http://hdl.handle.net/2099.1/19443>.

Getting started

Package details

AuthorJilber Urbina
MaintainerJilber Urbina <jurbina@cipadla.com>
Package repositoryView on CRAN
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OCA documentation built on Feb. 16, 2023, 8:27 p.m.