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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install.packages("ffp")

0.1.0 by Bernardo Reckziegel, 19 days ago


https://github.com/Reckziegel/FFP


Report a bug at https://github.com/Reckziegel/FFP/issues


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


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