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.|
|Maintainer||Coppens F. <email@example.com>|
|Package repository||View on CRAN|
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