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).

Install the latest version of this package by entering the following in R:
install.packages("validateRS")
AuthorCoppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K.
Date of publication2015-12-26 10:04:35
MaintainerCoppens F. <francois.coppens@nbb.be>
LicenseEUPL
Version1.0.0

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