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| NEWS | R Documentation |
Changed soft Dependencies
Minor bug and performance fixes
New feature in <intraAMLE> I:
If confidence intervals based on Duellmann and Gehde-Trapp (2004) are selected, the confidence intervals are also constructed for the unconditional PD.
New feature in <intraAMLE> II:
In addition to PD and intra correlation, also the asymptotic Value-at-Risk and Expected Shortfall is now calculated. Additionally confidence intervals for both risk measures are constructed via delta method.
New feature in <interCopula>:
The asymptotic confidence intervals are now computed analytically instead of numerically via the <VineCopula> package.
Minor bug fixes.
New function <interALL>:
Combines all available inter correlation functions to investigate the dependencies between default time series in detail. Examples can be found in the vignette.
New function <analyze_AssetCorr>:
Combines all available intra and inter correlation functions to investigate the dependencies withing a portfolio in detail. Examples can be found in the vignette.
New function <intraBeta>:
Estimating the intra correlation by matching Value-at-Risks, accoding to Botha and van Vuuren (2010)
New function <intraMode>:
Estimating the intra correlation by matching the theoretical and empirical estimated mode, accoding to Botha and van Vuuren (2010)
Bug fixes in bootstrap correction applications.
Reduction of package dependencies.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.