Computes bank defaults based on a liabilities matrix and external assets and liabilities.
Usage
default(L, ea, el = 0, method = c("clearing", "cascade"), ...)
Arguments
L
liability matrix
ea
vector of external assets
el
vector of external liabilites.
method
the method to be used. See Details.
...
Additional information for the various methods. See Details.
Value
A list with at least one element "defaultind", which is a
vector indicating which banks default (1=default, 0= no
default). Depending on the method, other results such as the
clearing vector may also be reported.
# NOT RUN {ea <- c(1/2,5/8,3/4)
el <- c(3/2,1/2,1/2)
x <- 0.5
L <- matrix(c(0,x,1-x,1-x,0,x,x,1-x,0),nrow=3)
default(L,ea,el)
default(L,ea,el,"cascade")
# }