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systemicrisk: Systemic Risk and Network Reconstruction
Analysis of risk through liability matrices. Contains a Gibbs sampler for network reconstruction, where only row and column sums of the liabilities matrix as well as some other fixed entries are observed, following the methodology of Gandy&Veraart (2016) <doi:10.1287/mnsc.2016.2546>. It also incorporates models that use a power law distribution on the degree distribution.
Getting started
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Package details |
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| Author | Axel Gandy [aut, cre], Luitgard A.M. Veraart [aut] |
| Maintainer | Axel Gandy <a.gandy@imperial.ac.uk> |
| License | GPL-3 |
| Version | 0.4.3 |
| Package repository | View on CRAN |
| Installation |
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