[R] [R-pkgs] SWIM: vignette and new version on CRAN

[Silvana Pesenti]

Hi all,


We’re happy to announce that the new version of *SWIM* is available on
CRAN. *SWIM* is an efficient sensitivity analysis tool for stochastic
models based on Monte Carlo samples. It provides weights on simulated
scenarios from a stochastic model, such that stressed random variables
fulfil given probabilistic constraints (e.g. specified values for risk
measures), under the new scenario weights. Scenario weights are selected by
constrained minimisation of the relative entropy to the baseline model.

 The new version includes additional functionalities which are illustrated
in the Vignette on a credit risk model:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515274.
<https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515274>


CRAN: https://CRAN.R-project.org/package=SWIM

GitHuB: https://github.com/spesenti/SWIM

Vignette: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515274




Best regards,

Silvana Pesenti

Maintainer and co-author.

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