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validateRS (version 1.0.0)

One-Sided Multivariate Testing Procedures for Rating Systems

Description

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).

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Version

Install

install.packages('validateRS')

Monthly Downloads

15

Version

1.0.0

License

EUPL

Maintainer

Coppens F

Last Published

December 26th, 2015

Functions in validateRS (1.0.0)

par.dist.default

Create default parameters for a distribution

power.target.Nclasses

Compute the alternative hypothesis' PDs by increasing the PDs under the null hypothesis towards 1.

Compute the power for a region and a given simple alternative hypothesis.

validateRS-package

Multiple testing procedures for validation of rating systems.

simul.scenario.rs

Determine cardinality and power for a statistical test.

sample.knowledge.H1

Draw a random sample from assumed distribution of H1 values. This function can be used to compute alternative hypothesis H1C from the ECB Working paper.

region.acceptance

Determine acceptance region for a test

minP.adj.pvalue

Adjusted p-values for the multiple test.

Data for rating classes of S&P