CRAN

OCA 0.1

Optimal Capital Allocations

Released Feb 8, 2017 by Jilber Urbina

Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014) and Urbina (2013).

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>OCA</artifactId>
    <version>0.1-b15</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:OCA')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 1, 2018.

• ES-examples
• Overbeck2-examples
• Risk-examples
• VaR-examples
• cap-examples
• dat1-examples
• dat2-examples
• hap-examples

Source

View GitHub Mirror

Release History

• 0.1