Other packages > Find by keyword >

OpVaR  

Statistical Methods for Modelling Operational Risk
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]
All associated links for this package
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:
1.0.5 (2018-05-29 06:59), 1.0 (2018-01-09 19:28), 1.1.1 (2020-07-02 09:30), 1.2 (2021-09-08 18:00)
Other packages that cited OpVaR R package
View OpVaR citation profile
Other R packages that OpVaR depends, imports, suggests or enhances
Downloads during the last 30 days
02/2602/2703/0103/0303/0403/0503/0603/0703/0803/1003/1303/1503/1803/1903/2003/2103/2203/2403/26Downloads for OpVaR012345678910111213TrendBars

Today's Hot Picks in Authors and Packages

gripp  
General Inverse Problem Platform
Set of functions designed to solve inverse problems. The direct problem is used to calculate a cost ...
Download / Learn more Package Citations See dependency  
hts  
Hierarchical and Grouped Time Series
Provides methods for analysing and forecasting hierarchical and grouped time series. The available ...
Download / Learn more Package Citations See dependency  
spinifex  
Manual Tours, Manual Control of Dynamic Projections of Numeric Multivariate Data
Data visualization tours animates linear projection of multivariate data as its basis (ie. orientat ...
Download / Learn more Package Citations See dependency  
transfR  
Transfer of Hydrograph from Gauged to Ungauged Catchments
A geomorphology-based hydrological modelling for transferring streamflow measurements from gauged to ...
Download / Learn more Package Citations See dependency  
pleiotest  
Fast Sequential Pleiotropy Test
It performs a fast multi-trait genome-wide association analysis based on seemingly unrelated regress ...
Download / Learn more Package Citations See dependency  
rsvd  
Randomized Singular Value Decomposition
Low-rank matrix decompositions are fundamental tools and widely used for data analysis, dimension r ...
Download / Learn more Package Citations See dependency  

23,842

R Packages

207,311

Dependencies

64,420

Author Associations

23,781

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA