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An implementation of statistical tests for the validation of rating systems as described in the ECB Working paper ''Advances in multivariate backtesting for credit risk underestimation'', by F. Coppens, M. Mayer, L. Millischer, F. Resch, S. Sauer, K. Schulze (ECB WP series, forthcoming).
Package details 


Author  Coppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K. 
Maintainer  Coppens F. <[email protected]> 
License  EUPL 
Version  1.0.0 
Package repository  View on CRAN 
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