CRAN

validateRS 1.0.0

One-Sided Multivariate Testing Procedures for Rating Systems

Released Dec 26, 2015 by Coppens F.

This package is available for Renjin and there are no known compatibility issues.

Dependencies

reshape2 1.4.3 triangle 0.11 truncnorm 1.0-8 data.table 1.10.4-3

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).

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>validateRS</artifactId>
    <version>1.0.0-b26</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:validateRS')

Test Results

This package was last tested against Renjin 0.9.2622 on Apr 7, 2018.

Source

R

View GitHub Mirror

Release History