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).

Package details

AuthorCoppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K.
MaintainerCoppens F. <>
Package repositoryView on CRAN
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validateRS documentation built on May 2, 2019, 3:47 p.m.