An efficient sensitivity analysis for stochastic models based on Monte Carlo samples. Provides weights on simulated scenarios from a stochastic model, such that stressed random variables fulfil given probabilistic constraints (e.g. specified values for risk measures), under the new scenario weights. Scenario weights are selected by constrained minimisation of the relative entropy to the baseline model. The 'SWIM' package is based on Pesenti S.M, Millossovich P., Tsanakas A. (2019) "Reverse Sensitivity Testing: What does it take to break the model", <openaccess.city.ac.uk/id/eprint/18896/>.
Package details 


Author  Silvana M. Pesenti [aut, cre], Alberto Bettini [aut], Pietro Millossovich [aut], Andreas Tsanakas [aut] 
Maintainer  Silvana M. Pesenti <swimpackage@gmail.com> 
License  GPL3 
Version  0.2.2 
URL  https://github.com/spesenti/SWIM https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515274 https://utstat.toronto.edu/pesenti/?page_id=138 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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