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 |