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:
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 2 years agofrom:14a368806f. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Dec 08 2024 |
| R-4.5-linux | OK | Dec 08 2024 |
Exports:capEShapOverbeck2RiskVaR
Dependencies:mathjaxr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Covariance Allocation Principle | cap |
| Public data risk no. 1 | dat1 |
| Public data risk no. 2 | dat2 |
| Expected Shortfall | ES |
| Haircut Allocation Principle | hap |
| Overbeck type II Allocation Principle | Overbeck2 |
| Risk | Risk |
| Value at Risk | VaR |