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.
SWIM: vignette and new version on CRAN
1 message · Silvana Pesenti