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).
| Version: | 1.0.0 |
| Depends: | truncnorm, triangle, reshape2, data.table |
| Published: | 2015-12-26 |
| Author: | Coppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K. |
| Maintainer: | Coppens F. <francois.coppens at nbb.be> |
| License: | EUPL |
| NeedsCompilation: | no |
| CRAN checks: | validateRS results |
| Reference manual: | validateRS.pdf |
| Package source: | validateRS_1.0.0.tar.gz |
| Windows binaries: | r-devel: validateRS_1.0.0.zip, r-release: validateRS_1.0.0.zip, r-oldrel: validateRS_1.0.0.zip |
| macOS binaries: | r-release (arm64): validateRS_1.0.0.tgz, r-oldrel (arm64): validateRS_1.0.0.tgz, r-release (x86_64): validateRS_1.0.0.tgz, r-oldrel (x86_64): validateRS_1.0.0.tgz |
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