validateRS: One-Sided Multivariate Testing Procedures for Rating Systems

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

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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
OS X El Capitan binaries: r-release: validateRS_1.0.0.tgz
OS X Mavericks binaries: r-oldrel: validateRS_1.0.0.tgz

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