Learn R Programming

OCA (version 0.5)

Optimal Capital Allocations

Description

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).

Copy Link

Version

Install

install.packages('OCA')

Monthly Downloads

195

Version

0.5

License

GPL-2

Maintainer

Jilber Urbina

Last Published

February 11th, 2023

Functions in OCA (0.5)

dat1

Public data risk no. 1
cap

Covariance Allocation Principle
Risk

Risk
Overbeck2

Overbeck type II Allocation Principle
VaR

Value at Risk
hap

Haircut Allocation Principle
ES

Expected Shortfall
dat2

Public data risk no. 2