validateRS: One-Sided Multivariate Testing Procedures for Rating Systems
Version 1.0.0

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.
Date of publication2015-12-26 10:04:35
MaintainerCoppens F. <[email protected]>
Package repositoryView on CRAN
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validateRS documentation built on May 30, 2017, 7:58 a.m.