Stress Test Historical Scenarios with Fully Flexible Probabilities

Implements numerical entropy-pooling for scenario analysis as described in Meucci, Attilio (2010) .


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0.1.0 by Bernardo Reckziegel, 3 months ago

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Authors: Bernardo Reckziegel [aut, cre, cph]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports assertthat, dplyr, forcats, ggdist, ggplot2, lubridate, magrittr, methods, mvtnorm, NlcOptim, pracma, purrr, rlang, scales, stats, tibble, tidyr, usethis, vctrs, xts

Suggests covr, knitr, markdown, roxygen2, spelling, testthat

See at CRAN