ffp: Stress Test Historical Scenarios with Fully Flexible Probabilities

Implements numerical entropy-pooling for scenario analysis as described in Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.

Package details

AuthorBernardo Reckziegel [aut, cre, cph]
MaintainerBernardo Reckziegel <bernardo_cse@hotmail.com>
LicenseMIT + file LICENSE
URL https://github.com/Reckziegel/FFP
Package repositoryView on CRAN
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ffp documentation built on July 14, 2021, 5:09 p.m.