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).

Author
Coppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K.
Date of publication
2015-12-26 10:04:35
Maintainer
Coppens F. <francois.coppens@nbb.be>
License
EUPL
Version
1.0.0

View on CRAN

Man pages

minP.adj.pvalue
Adjusted p-values for the multiple test.
par.dist.default
Create default parameters for a distribution
power.target.Nclasses
Compute the alternative hypothesis' PDs by increasing the PDs...
ratingData
Data for rating classes of S&P
region.acceptance
Determine acceptance region for a test
region.power
Compute the power for a region and a given simple alternative...
sample.knowledge.H1
Draw a random sample from assumed distribution of H1 values....
simul.scenario.rs
Determine cardinality and power for a statistical test.
validateRS-package
Multiple testing procedures for validation of rating systems.

Files in this package

validateRS
validateRS/NAMESPACE
validateRS/data
validateRS/data/ratingData.rdata
validateRS/R
validateRS/R/validateRS.R
validateRS/R/ecbpaper.r
validateRS/R/mkdata.R
validateRS/MD5
validateRS/DESCRIPTION
validateRS/man
validateRS/man/region.acceptance.Rd
validateRS/man/simul.scenario.rs.Rd
validateRS/man/par.dist.default.Rd
validateRS/man/validateRS-package.Rd
validateRS/man/sample.knowledge.H1.Rd
validateRS/man/power.target.Nclasses.Rd
validateRS/man/region.power.Rd
validateRS/man/minP.adj.pvalue.Rd
validateRS/man/ratingData.Rd