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validateRS: 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).
Getting started
Browse package contents
Package details |
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| Author | Coppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K. |
| Maintainer | Coppens F. <francois.coppens@nbb.be> |
| License | EUPL |
| Version | 1.0.0 |
| Package repository | View on CRAN |
| Installation |
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