| Name : R-esback
| |
| Version : 0.3.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.5
| Date : 2024-06-14 11:43:45
|
| Group : Development/Libraries/Other
| Source RPM : R-esback-0.3.1-lp153.1.5.src.rpm
|
| Size : 0.11 MB
| |
| Packager : (none)
| |
| Summary : Expected Shortfall Backtesting
|
Description :
Implementations of the expected shortfall backtests of Bayer and
Dimitriadis (2020) < doi:10.1093/jjfinec/nbaa013> as well as other well
known backtests from the literature. Can be used to assess the
correctness of forecasts of the expected shortfall risk measure which
is e.g. used in the banking and finance industry for quantifying the
market risk of investments. A special feature of the backtests of Bayer
and Dimitriadis (2020) < doi:10.1093/jjfinec/nbaa013> is that they only
require forecasts of the expected shortfall, which is in striking
contrast to all other existing backtests, making them particularly
attractive for practitioners.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
