Package: OCA 0.5

Jilber Urbina

OCA: Optimal Capital Allocations

Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014)<doi:10.1016/j.eswa.2014.05.017> and Urbina (2013)<http://hdl.handle.net/2099.1/19443>.

Authors:Jilber Urbina

OCA_0.5.tar.gz
OCA_0.5.tar.gz(r-4.5-noble)OCA_0.5.tar.gz(r-4.4-noble)
OCA_0.5.tgz(r-4.4-emscripten)OCA_0.5.tgz(r-4.3-emscripten)
OCA.pdf |OCA.html✨
OCA/json (API)
NEWS

# Install 'OCA' in R:
install.packages('OCA', repos = 'https://cloud.r-project.org')
Datasets:
  • dat1 - Public data risk no. 1
  • dat2 - Public data risk no. 2

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.00 score 263 downloads 17 mentions 6 exports 1 dependencies

Last updated 2 years agofrom:14a368806f. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 08 2025
R-4.5-linuxOKMar 08 2025
R-4.4-linuxOKMar 08 2025

Exports:capEShapOverbeck2RiskVaR

Dependencies:mathjaxr

Citation

To cite package ‘OCA’ in publications use:

Urbina J (2023). OCA: Optimal Capital Allocations. R package version 0.5, https://CRAN.R-project.org/package=OCA.

ATTENTION: This citation information has been auto-generated from the package DESCRIPTION file and may need manual editing, see ‘help("citation")’.

Corresponding BibTeX entry: 

  @Manual{,
    title = {OCA: Optimal Capital Allocations},
    author = {Jilber Urbina},
    year = {2023},
    note = {R package version 0.5},
    url = {https://CRAN.R-project.org/package=OCA},
  }