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Green Paper: Economic Capital & Bank Stress Testing - The Optimal R Object Set

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Any analyst or Project Manager or indeed executive tasked with introducing macroprudential stress testing and risk capital estimation today is potentially going to be bewildered by the enormous riches of CRAN-R and R-Forge, a lot of the content being irrelevant to the task at hand. Without an expert eye, it is difficult to identify the subset of R objects which can deliver quickly. Here the selection process is done for you. This list is appropriate for Credit Economic Capital estimation, Liquidity Risk, general market risk and holistic stress testing to support total economic capital quantification, risk capital estimation and credit economic capital quantification.

The objective in setting out this list is not to be didactic; it is not setting a standard or telling you what you must use. To coin a phrase; this is principles-based advice with the objective of clarity aimed at helping you get started. When one first comes to CRAN-R (or R-Forge), particularly under time-pressure to get a quantitative job done, the list of CRAN-R-Packages and objects does seem bewildering since there are packages there designed to do specific jobs in psychology, ecology, medicine and electronics. This paper provides an analysis which is intended to sort out the wood from the trees for a new user trying to estimate Economic Risk Capital or to conduct some Stress Testing.

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John Morrison
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