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OCA
View on CRAN: Click
here
Download and install OCA package within the R console
Install from CRAN:
install.packages("OCA")
Install from Github:
library("remotes")
install_github("cran/OCA")
Install by package version:
library("remotes")
install_version("OCA", "0.5")
Attach the package and use:
library("OCA")
Maintained by
Jilber Urbina
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-02-08
Latest Update: 2023-02-11
Description:
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 Guill
How to cite:
Jilber Urbina (2017). OCA: Optimal Capital Allocations. R package version 0.5, https://cran.r-project.org/web/packages/OCA. Accessed 23 Nov. 2024.
Previous versions and publish date:
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