facing difficulty in installing the opVaR package in R

Question

I am trying to learn how to deal with operational risks using R, but I could not get opVaR package installed. I think it is a necessary package & some examples have used this package.

I tried install.packages("opVaR")

but got this Warning in install.packages:

package 'opVaR' is not available (for R version 3.2.3)

Can you please guide me how to proceed?

Answer 1

There is no sign of such a package in the list of current packages on CRAN, which is why your install fails:

https://cran.r-project.org/web/packages/available_packages_by_name.html

The nearest match being probably "PopVar", which doesn't seem to be it. I also checked the Archive folder on CRAN. No sign there either.

Some simple internet searching has revealed that this package has a mythical status, with many people setting out on a quest to find it, with none succeeding. I suggest you contact the author of whatever document led you to believe it exists, and wish you good luck on your quest...

Time passes...

The quest may be at an end. I have found something by searching the name of the author of the paper you linked in the comments:

http://mi2.mini.pw.edu.pl/index.php/nasze-projekty/

Look for "Anna Zalewska" and there is a link to a zip file of the package.

Note this is not a source package, and it was built for a pre-version 3 R, and it doesn't have a NAMESPACE file and so nothing is exported. The License says it is GPL-3, and so you should be able to demand the source code. The maintainer's email is in the DESCRIPTION file with the zip and that should be your next contact.

Answer 2

The opVar package is indeed not available in the CRAN repository. This package is made by UniCredit (an Italian bank) in cooperation with Quantide (an R/IT consultancy firm). I think your best bet is to contact one of these two firms, but chances are pretty low they will just give it to you.

This package contains functionalities that UniCredit uses in modelling (and setting capital aside for) operational risk according to Basel II using the Advanced Measurement Approach (AMA). The AMA approach allows a bank to make their own model of operational risk and my bet is that UniCredit does not want to share their knowledge with competitors (and thus won't hand out this package), but you can always try.