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.


Reference manual

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1.0.2 by Merlin Kopfmann, 4 months ago

Browse source code at

Authors: Merlin Kopfmann

Documentation:   PDF Manual  

CC0 license

Imports pracma, stats

Suggests knitr, rmarkdown

See at CRAN