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SWIM 1.0.0 - current develop version on GitHub

Major changes: Additional functions and features

• Wasserstein distance

  • stress_wass():
    • A wrapper for the stress functions using the 2-Wasserstein distance
  • stress_RM_w():
    • a stressed model component (random variable) fulfills a constraint on its risk measure defined by a gamma function.
  • stress_RM_mean_sd_w():
    • a stressed model component (random variable) fulfills a constraint on its mean, standard deviation, and risk measure defined by a gamma function.
  • stress_HARA_RM_w():
    • a stressed model component (random variable) fulfills a constraint on its HARA utility defined by a, b and eta parameter and risk measure defined by a gamma function.
  • stress_mean_sd_w():
    • a stressed model component (random variable) fulfills a constraint on its mean and standard deviation.
  • stress_mean_w():
    • a stressed model component (random variable) fulfills a constraint on its mean.

• Functions

  • mean_stressed():
    • sample mean of chosen stressed model components, subject to the calculated scenario weights.
  • sd_stressed():
    • sample standard deviation of chosen stressed model components, subject to the calculated scenario weights.
  • var_stressed():
    • sample variance of chosen stressed model components, subject to the calculated scenario weights.
  • cor_stressed():
    • sample correlation coefficient of chosen stressed model components, subject to the calculated scenario weights.
  • cdf_stressed():
    • the empirical distribution function of a stressed model component (random variable) under the scenario weights.
  • rename_SWIM():
    • Get a new SWIM object with desired names.

• Features

  • stress():
    • A parameter “names” to all stress functions, which allows to name a stress differently than just “stress 1”, “stress 2”, etc.
    • A parameter “log” that allows users to inspect weights’ statistics, including minimum, maximum, standard deviation, Gini coefficient, and entropy.
  • sensitivity():
    • A parameter “p” can be specified for the degree of Wasserstein distance.

Minor changes

• fix minor bug in summary().
• add base argument for quantile_stressed() and an error message if the input has wCol has dimension larger than 1.

SWIM 0.2.2 - current version on CRAN

Major changes: Additional functions and features

• plot_quantile():
  • the function plots the empirical quantile of model components, subject to scenario weights.
• plot_weights():
  • the function plots the scenario weights of a stressed model against model components.
• stress_moment():
  • add parameter “normalise” that allows to linearly normalise the values called by nleqslv.
  • the function prints a table with the required and achieved moments and the absolute and relative error.
• stress_VaR_ES():
  • add parameter “normalise” that allows to linearly normalise the values before uniroot is applied.

Minor changes

• fix bug in merging different stress objects.

SWIM 0.2.1

Minor changes

• add vignette
• fix bug in merge().
• fix bug in sensitivity().

SWIM 0.2.0

Major changes

Additional functions and data sets

• VaR_stressed():
  • the function calculates the VaR of model components, subject to scenario weights.
• ES_stressed():
  • the function calculates the ES of model components, subject to scenario weights.
• credit_data:
  • a data set containing aggregate losses from a credit portfolio, generated through a binomial credit model.

Amendments to functions

• stress_VaR():
  • amendment to the calculation of scenario weights when the specified VaR cannot be achieved.
  • returns a message if the achieved VaR is not equal to the stressed VaR specified.
  • specs of the SWIM object contains the achieved VaR
  • allowing for stressing VaR downwards
• stress_VaR_ES():
  • amendment analogous to the stress_VaR().
  • returns a message if the achieved VaR is not equal to the stressed VaR specified.
  • specs of the SWIM object contains the achieved VaR
  • allowing for stressing VaR and ES downwards

Minor changes

• stress():
  • parameter x can have missing column names.
• stress_moment():
  • additional parameter show; if TRUE (default is FALSE), the result of nleqslv() is printed.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.