validateRS (1.0.0)

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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).

Maintainer: Coppens F.
Author(s): Coppens F., Mayer M., Millischer L., Resch F., Sauer S., Schulze K.

License: EUPL

Uses: data.table, reshape2, triangle, truncnorm

Released about 4 years ago.



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