| Name : R-OpVaR
| |
| Version : 1.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.3.7
| Date : 2024-06-14 11:41:11
|
| Group : Development/Libraries/Other
| Source RPM : R-OpVaR-1.2-lp153.3.7.src.rpm
|
| Size : 0.32 MB
| |
| Packager : (none)
| |
| Summary : Statistical Methods for Modelling Operational Risk
|
Description :
Functions for computing the value-at-risk in compound Poisson models.
The implementation comprises functions for modeling loss frequencies
and loss severities with plain, mixed (Frigessi et al. (2012)
< doi:10.1023/A:1024072610684>) or spliced distributions using Maximum
Likelihood estimation and Bayesian approaches (Ergashev et al. (2013)
< doi:10.21314/JOP.2013.131>). In particular, the parametrization of
tail distributions includes the fitting of Tukey-type distributions
(Kuo and Headrick (2014) < doi:10.1155/2014/645823>). Furthermore, the
package contains the modeling of bivariate dependencies between loss
severities and frequencies, Monte Carlo simulation for total loss
estimation as well as a closed-form approximation based on Degen (2010)
< doi:10.21314/JOP.2010.084> to determine the value-at-risk.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
