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OpVaR
View on CRAN: Click
here
Download and install OpVaR package within the R console
Install from CRAN:
install.packages("OpVaR")
Install from Github:
library("remotes")
install_github("cran/OpVaR")
Install by package version:
library("remotes")
install_version("OpVaR", "1.2")
Attach the package and use:
library("OpVaR")
Maintained by
Christina Zou
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
First Published: 2018-01-09
Latest Update: 2021-09-08
Description:
Functions for computing the value-at-risk in compound Poisson models.
The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) ) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) ).
In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) ). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) to determine the value-at-risk.
How to cite:
Christina Zou (2018). OpVaR: Statistical Methods for Modelling Operational Risk. R package version 1.2, https://cran.r-project.org/web/packages/OpVaR. Accessed 28 Mar. 2025.
Previous versions and publish date:
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Other R packages that OpVaR depends,
imports, suggests or enhances
Functions, R codes and Examples using
the OpVaR R package
Some associated functions: FitSpliced . FitThreshold . Mixing . OpVaR-package . buildFreqdist . buildMixingSevdist . buildPlainSevdist . buildSplicedSevdist . dgh . dgpd . dsevdist . fitDependency . fitFreqdist . fitMixing . fitPlain . fitSplicedBayes . fitSplicedBestFit . fitWeights . goftest . lossdat . mcSim . plot.sevdist . sla .
Some associated R codes: SLA.R . T_g.R . T_h.R . buildFreqdist.R . buildSevdist.R . deriv_gh.R . dgh.R . dpqrgpd.R . dpqrmixing.R . dpqrspliced.R . dsevdist.R . fitDependency.R . fitFreqdist.R . fitMixing.R . fitPlain.R . fitSpliced.R . fitSplicedBayesGammaGPD.R . fitSplicedBayesKDEGPD.R . fitSplicedBayesLognormGPD.R . fitSplicedBayesWeibullGPD.R . fitSplicedBestFit.R . fitSplicedPar.R . fitThreshold.R . fitWeights.R . gh_inv.R . goftest.R . mcSim.R . pgh.R . print.freqdist.R . print.sevdist.R . psevdist.R . qgh.R . qqplot.sevdist.R . qsevdist.R . rgh.R . rsevdist.R . splice_lognorm_gh_mop.R . Full OpVaR package functions and examples
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