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systemicrisk (version 0.4.2)

A Toolbox for Systemic Risk

Description

A toolbox for systemic risk based on liabilities matrices. Contains a Gibbs sampler for liabilities matrices where only row and column sums of the liabilities matrix as well as some other fixed entries are observed. Includes models for power law distribution on the degree distribution.

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Version

Install

install.packages('systemicrisk')

Monthly Downloads

451

Version

0.4.2

License

GPL-3

Maintainer

Axel Gandy

Last Published

January 13th, 2019

Functions in systemicrisk (0.4.2)

calibrate_FitnessEmp

Calibrate empirical fitness model to a given density

Model.p.Betaprior_mult

Model Using Multiple Independent Components

Model.p.Fitness.Servedio

Multiplicative Fitness Model for Power Law

Sample from the ERE model with given row and column sums

getfeasibleMatr

Creates a feasible starting matrix

Default of Banks

Calibrate Thinning

Creates a deep copy of a matrix

Model.lambda.constant.nonsquare

Model for a Constant lambda and Non-Square Matrices

Model.p.BetaPrior

Model for a Random One-dimensional p

Model.p.constant

Model for a Constant p

Model.p.constant.nonsquare

Model for a constant p and Non-Square Matrices

Outputs Effective Sample Size Diagonis for MCMC run

findFeasibleMatrix_targetmean

Creates a feasible starting matrix with a desired mean average degree

Generate Liabilities Matrix from Prior

Model.fitness.genlambdaparprior

Prior distribution for eta and zeta in the fitness model

findFeasibleMatrix

Finds a Nonnegative Matrix Satisfying Row and Column Sums

Calibrate ER model to a given density

calibrate_ER.nonsquare

Calibrate ER model to a given density with a nonsquare matrix

default_cascade

Default Cascade

default_clearing

Clearing Vector with Bankruptcy Costs

sample_HierarchicalModel

Sample from Hierarchical Model with given Row and Column Sums

Perform Steps of the Gibbs Sampler of the ERE model

Model.fitness.meandegree

Mean out-degree of a random node the fitness model

Model.lambda.GammaPrior

Model with Gamma Prior on Lambda

Model.fitness.conditionalmeandegree

Mean out-degree of a node with given fitness in the fitness model

Model.Indep.p.lambda

Combination of Independent Models for p and lambda

Does one Gibbs Step on a cycle

Model.additivelink.exponential.fitness

Fitness model for liabilities matrix

Model.lambda.Gammaprior_mult

Model Using Multiple Independent Components

Model.lambda.constant

Model for a Constant lambda

GibbsSteps_kcycle

Gibbs sampling step of a matrix in the ERE model