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. <francois.coppens@nbb.be>
LicenseEUPL
Version1.0.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("validateRS")

Try the validateRS package in your browser

Any scripts or data that you put into this service are public.

validateRS documentation built on May 30, 2017, 7:58 a.m.