SyScSelection

Systematic Scenario Selection for Stress Testing

CRAN Package

Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions (Flood, Mark D. & Korenko, George G. (2013) doi:10.1080/14697688.2014.926018). This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.

  • Version1.0.2
  • R versionunknown
  • LicenseCC0
  • Needs compilation?No
  • Last release10/26/2020

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  • Imports1 package
  • Suggests2 packages