R/data_documentation.R

In NetworkRiskMeasures: Risk Measures for (Financial) Networks

# Data Documentation ------------------------------------------------------


#### Simulated Data ####

##' Simulated Interbank Data
##'
##' A simulated dataset with interbank assets, liabilities, capital buffer and weights for
##' 125 "banks". The code to generate the data is on the examples.
##' 
##'
##' @docType data
##' @keywords dataset
##' @format A data frame with 125 rows and 5 variables
##' @name sim_data
##' @examples 
##' 
##' # Simulated data for ilustration purposes
##' 
##' # Setting Seed
##' set.seed(1100)
##' 
##' # Heavy tailed assets
##' assets <- rlnorm(125, 0, 2)
##' assets[assets < 4] <- runif(length(assets[assets < 4]))
##' 
##' # Heavy tailed liabilities
##' liabilities <- rlnorm(125, 0, 2) 
##' liabilities[liabilities < 4] <- runif(length(liabilities[liabilities < 4]))
##' 
##' # Making sure assets = liabilities
##' assets <- sum(liabilities) * (assets/sum(assets))
##' 
##' # Buffer as a function of assets
##' buffer <- pmax(0.01, runif(length(liabilities))*liabilities + abs(rnorm(125, 4, 2.6)))
##' 
##' # Weights as a function of assets, buffer and liabilities
##' weights <- (assets + liabilities + buffer + 1) + rlnorm(125, 0, 1)
##' 
##' # creating data.frame
##' sim_data <- data.frame(bank  = paste0("b", 1:125),
##'                        assets = assets,
##'                        liabilities = liabilities,
##'                        buffer = buffer,
##'                        weights = weights)
##'  
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