Systematic Scenario Selection for Stress Testing

Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions (Flood, Mark D. & Korenko, George G. (2013) ). This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.


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install.packages("SyScSelection")

1.0.2 by Merlin Kopfmann, 3 days ago


Browse source code at https://github.com/cran/SyScSelection


Authors: Merlin Kopfmann


Documentation:   PDF Manual  


CC0 license


Imports pracma, stats

Suggests knitr, rmarkdown


See at CRAN