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).


Reference manual

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1.0.0 by Coppens F., 5 years ago

Browse source code at

Authors: Coppens F. , Mayer M. , Millischer L. , Resch F. , Sauer S. , Schulze K.

Documentation:   PDF Manual  

EUPL license

Depends on truncnorm, triangle, reshape2, data.table

See at CRAN