Fed stress test
On Tue, 2011-12-06 at 19:20 +0530, debashis dutta wrote:
I am implementing Fed stress test on a bank portfolio. Is there any R library I can take help of ? Your kind guidance is highly solicited.
Obviously, basically all methodologies that are used in stress tests are well supported in R. Without more specificity about where you are stuck, it's hard for anyone to help you without vague references to 'actuar', 'PerformanceAnalytics', 'AER', and the various CRAN task views. How about following the posting guide and being more specific about what you've already done? Perhaps this is an opportunity for you to contribute back to the community that helps you by sharing the code you're working on (obviously using some public data as examples, not your proprietary portfolio data) Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock