| 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.