A set of functions used to automate commonly used methods in credit risk. This includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and Machine Learning algorithms.
chron, e1071, expm, matrixStats, nnet, pracma, zoo

A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and Machine Learning algorithms.
chron, e1071, expm, MASS, Matrix, matrixStats, nnet, pracma,
tcltk, zoo, Rcpp (>= 0.12.11)

A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometric and Machine Learning approaches.  More information can be found at <https://analyticsrusers.blog>.
chron, caret, e1071, expm, MASS, Matrix, matrixStats,
neuralnet, nnet, pracma, tcltk, zoo, Rcpp (>= 0.12.11)

Measuring Information Flow Between Time Series with Shannon and
Renyi Transfer Entropy
Measuring information flow between time series with Shannon and Rényi transfer entropy. See also Dimpfl and Peter (2013) <doi:10.1515/snde-2012-0044> and Dimpfl and Peter (2014) <doi:10.1016/j.intfin.2014.03.004> for theory and applications to financial time series. Additional references can be found in the theory part of the vignette.
c(
person("Simon", "Behrendt", , "simon.behrendt@zu.de", role = c("aut", "cre")),
person("David", "Zimmermann", role = c("aut")),
person("Thomas", "Dimpfl", role = c("aut")),
person("Franziska", "Peter", role = c("aut"))
)
data.table, ggplot2, gridExtra, knitr, quantmod, rmarkdown,
testthat, vars, xts, zoo
Simon Behrendt [aut, cre],
David Zimmermann [aut],
Thomas Dimpfl [aut],
Franziska Peter [aut]

c(
person("David", "Zimmermann", email = "david_j_zimmermann@hotmail.com", role = c("aut", "cre")),
person("Simon", "Behrendt", role = c("aut")),
person("Thomas", "Dimpfl", role = c("aut")),
person("Franziska", "Peter", role = c("aut"))
)
David Zimmermann [aut, cre],
Simon Behrendt [aut],
Thomas Dimpfl [aut],
Franziska Peter [aut]