agabrielsen

jarquebera <- function(x){
#' Test for normality Jarque-Bera, Bowman-Shenton(1977))
#'
#' Calculates Jarque-Bera Normality test & corresponding p-value
#' @param x a Nx1 vector
#' @return Jarque-Bera statistic
#' @export
#' @author Alexandros Gabrielsen 
T=length(x)

agabrielsen

bintest = function(ci, pds, freq, obspds, statistic) {
# ---------------------------------------------------------------
# PURPOSE: 		
# Binomial Test: Upper One/Two Tailed Upper Bounds Assuming Independence
# ---------------------------------------------------------------
# INPUS:
# ci			Confidence Interval
# pds 			Expected PDs
# freq			Frequency of ratings
# obspds		Observed PDs

agabrielsen

Gini = function(freq, default, saveplot, showplot) {
# ---------------------------------------------------------------
# PURPOSE:  
# PD Accuracy Ration (Gini) 
# Basel Committee on Banking Supervision 
# Working Paper No. 14 
# Studies on the  Validation of Internal Rating Systems 
# ---------------------------------------------------------------
# INPUTS:
# freq			Frequency

agabrielsen

HosmerLemeshow = function(freq,obspds,ci) {
# ---------------------------------------------------------------
# PURPOSE: 
# Hosmer Lemeshow Test
# Basel Committee on Banking Supervision 
# Working Paper No. 14 
# Studies on the  Validation of Internal Rating Systems 
# ---------------------------------------------------------------
# INPUTS:
# freq			Frequency

agabrielsen

KendallTau = function(X,Y,type) {
# ---------------------------------------------------------------
# PURPOSE: 
# Kendall Tau
# Basel Committee on Banking Supervision  
# Working Paper No. 14  
# Studies on the  Validation of Internal Rating Systems  
#
# ---------------------------------------------------------------
# INPUTS: 

agabrielsen

PSI = function(X,Y,saveplot,showplot,ratings,psinames) {
# ---------------------------------------------------------------
# PURPOSE:  
# Population Distribution Index (PSI)
# Basel Committee on Banking Supervision  
# Working Paper No. 14  
# Studies on the  Validation of Internal Rating Systems  
# ---------------------------------------------------------------
# INPUTS:
# X				Array of (%) of Frequency

agabrielsen

---------------------------------------------------------------
# PURPOSE:
# Pluto and Tasche, 2005, Estimating Probabilities of Default for 
# Low Default Portfolios
# Basel Committee on Banking Supervision 
# Working Paper No. 14 
# Studies on the  Validation of Internal Rating Systems 
# ---------------------------------------------------------------
# INPUTS:
# n					 	number of obligors for a particular grade

agabrielsen

VaRLR <-function(fdata, VaR, alpha, position) { 
# 
#----------------------------------------------------------------------- 
# PURPOSE:  
# Value-at-Risk backtesting for long and short positions using 
# the unconditional coverage, independence and conditional coverage family  
# of tests 
#----------------------------------------------------------------------- 
# USAGE:  
# results = VaRLR(fdata, VaR, alpha, position, options) 

agabrielsen

# Exponentially Weighted Moving Average
# ----------------------------------------------------
# PURPOSE:
# Estimates the Exponentially Weighted Moving Average.
#---------------------------------------------------
# USAGE:
# [M, V, H, C] = ewma(data,lambda, method)
#
# INPUTS:
# data = ( M x N ) vector