mvk222/SyScSelection: Systemic Scenario Selection for Stress Testing

Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions. Flood, Mark D. & Korenko, George G. (2013) <doi:10.1080/14697688.2014.926018> This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.

install.packages("remotes")
remotes::install_github("mvk222/SyScSelection")