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.

Maintainer: Axel Gandy <a.gandy at imperial.ac.uk>

Author(s): Axel Gandy and Luitgard A.M. Veraart

Install package and any missing dependencies by running this line in your R console:

install.packages("systemicrisk")

Depends
Imports lpSolve, Rcpp(>=0.11.2), stats, utils
Suggests coda, testthat, knitr
Enhances
Linking to Rcpp
Reverse
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imports
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suggests
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Package systemicrisk
Materials
URL
Task Views
Version 0.4
Published 2017-01-08
License GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks systemicrisk check results
Package source systemicrisk_0.4.tar.gz