Statistical Methods for Modelling Operational Risk


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Documentation for package ‘OpVaR’ version 1.2

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OpVaR-package Statistical Methods for Modelling Operational Risk
buildFreqdist Building a freqdist object
buildMixingSevdist Building a dynamic mixture model as a sevdist object
buildPlainSevdist Building a sevdist object with a plain distribution
buildSplicedSevdist Building a sevdist object with a spliced distribution
dgh Tukey's gh Distribution
dgpd Generalized Pareto Distribution
dmixing Extended Dynamic Weighted Mixture Model
dsevdist Evaluating Plain, Spliced or Mixing Severity Distributions
dspliced Estimation of the threshold, the body and the tail parameters for a spliced distribution
evaluate Building a dynamic mixture model as a sevdist object
fitDependency Function for fitting bivariate Copulas
fitFreqdist Fitting the frequency distribution
fitMixing Maximum Likelihood Estimation
fitPlain Fit plain distribution models
fitSpliced Estimation of the threshold, the body and the tail parameters for a spliced distribution
fitSplicedBayesGammaGPD Parameter Estimation for Spliced Distributions
fitSplicedBayesKDEGPD Parameter Estimation for Spliced Distributions
fitSplicedBayesLognormGPD Parameter Estimation for Spliced Distributions
fitSplicedBayesWeibullGPD Parameter Estimation for Spliced Distributions
fitSplicedBestFit Fitting a spliced distribution over a given data set
fitSplicedPar Estimation of the threshold, the body and the tail parameters for a spliced distribution
fitThreshold Threshold estimation for spliced distribution
fitWeights Fitting the weights of the body and the tail for a spliced distribution
goftest Goodness of fit tests for severity distributions
lossdat Example loss data set
mcSim Monte Carlo Simulation from opriskmodel objects for total loss estimation
OpVaR Statistical Methods for Modelling Operational Risk
pgh Tukey's gh Distribution
pgpd Generalized Pareto Distribution
plot.sevdist Density plot and Q-Q plot for plain, mixing, and spliced distributions
pmixing Extended Dynamic Weighted Mixture Model
print.freqdist Building a freqdist object
print.sevdist Evaluating Plain, Spliced or Mixing Severity Distributions
psevdist Evaluating Plain, Spliced or Mixing Severity Distributions
pspliced Estimation of the threshold, the body and the tail parameters for a spliced distribution
qgh Tukey's gh Distribution
qgpd Generalized Pareto Distribution
qmixing Extended Dynamic Weighted Mixture Model
qqplot.sevdist Density plot and Q-Q plot for plain, mixing, and spliced distributions
qsevdist Evaluating Plain, Spliced or Mixing Severity Distributions
qspliced Estimation of the threshold, the body and the tail parameters for a spliced distribution
rgh Tukey's gh Distribution
rgpd Generalized Pareto Distribution
rmixing Extended Dynamic Weighted Mixture Model
rsevdist Evaluating Plain, Spliced or Mixing Severity Distributions
rspliced Estimation of the threshold, the body and the tail parameters for a spliced distribution
sla Single-Loss Approximation for Operational Value at Risk
VaR Monte Carlo Simulation from opriskmodel objects for total loss estimation