systemicrisk: A Toolbox for Systemic Risk

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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.

Author
Axel Gandy and Luitgard A.M. Veraart
Date of publication
2015-12-21 21:31:24
Maintainer
Axel Gandy <a.gandy@imperial.ac.uk>
License
GPL-3
Version
0.3

View on CRAN

Man pages

choosethin
Calibrate Thinning
cloneMatrix
Crates a deep copy of a matrix
default
Default of Banks
default_cascade
Default Cascade
default_clearing
Clearing Vector with Bankruptcy Costs
diagnose
Outputs Effective Sample Size Diagonis for MCMC run
ERE_step_cycle
Does one Gibbs Step on a cycle
findFeasibleMatrix
Finds a Nonnegative Matrix Satisfying Row and Column Sums
findFeasibleMatrix_targetmean
Creates a feasible starting matrix with a desired mean...
genL
Generate Liabilities Matrix from Prior
getfeasibleMatr
Creates a feasible starting matrix
GibbsSteps_kcycle
Gibbs sampling step of a matrix in the ERE model
Model.additivelink.exponential.fitness
Fitness model for liabilities matrix
Model.fitness.conditionalmeandegree
Mean out-degree of a node with given fitness in the fitness...
Model.fitness.genlambdaparprior
Prior distribution for eta and zeta in the fitness model
Model.fitness.meandegree
Mean out-degree of a random node the fitness model
Model.Indep.p.lambda
Combination of Independent Models for p and lambda
Model.lambda.constant
Model for a Constant lambda
Model.lambda.GammaPrior
Model with Gamma Prior on Lambda
Model.lambda.Gammaprior_mult
Model Using Multiple Independent Components
Model.p.BetaPrior
Model for a Random One-dimensional p
Model.p.Betaprior_mult
Model Using Multiple Independent Components
Model.p.constant
Model for a Constant p
Model.p.Fitness.Servedio
Multiplicative Fitness Model for Power Law
sample_ERE
Sample from the ERE model with given row and column sums
sample_HierarchicalModel
Sample from Hierarchical Model with given Row and Column Sums
steps_ERE
Perform Steps of the Gibbs Sampler of the ERE model

Files in this package

systemicrisk
systemicrisk/inst
systemicrisk/inst/CITATION
systemicrisk/inst/NEWS.Rd
systemicrisk/inst/doc
systemicrisk/inst/doc/Introduction.Rmd
systemicrisk/inst/doc/Introduction.R
systemicrisk/inst/doc/HierarchicalModels.R
systemicrisk/inst/doc/HierarchicalModels.Rmd
systemicrisk/inst/doc/Introduction.html
systemicrisk/inst/doc/HierarchicalModels.html
systemicrisk/tests
systemicrisk/tests/testthat.R
systemicrisk/tests/testthat
systemicrisk/tests/testthat/test_HierarchicalModels_choosethin.R
systemicrisk/tests/testthat/test_HierarchicalModels.R
systemicrisk/tests/testthat/test-gibbs_kcycle.R
systemicrisk/tests/testthat/test_FeasibleMatrix.R
systemicrisk/src
systemicrisk/src/lib_FeasibleMatrix.cpp
systemicrisk/src/lib_sample_kcycle.cpp
systemicrisk/src/RcppExports.cpp
systemicrisk/NAMESPACE
systemicrisk/R
systemicrisk/R/ExponentialFitnessLinkFun.R
systemicrisk/R/lib_Network_Evaluations.R
systemicrisk/R/lib_FindFeasibleMatrix.R
systemicrisk/R/HierarchicalModels.R
systemicrisk/R/lib_ErdosRenyExponential_MCMC.R
systemicrisk/R/RcppExports.R
systemicrisk/vignettes
systemicrisk/vignettes/Introduction.Rmd
systemicrisk/vignettes/HierarchicalModels.Rmd
systemicrisk/MD5
systemicrisk/build
systemicrisk/build/vignette.rds
systemicrisk/DESCRIPTION
systemicrisk/man
systemicrisk/man/sample_HierarchicalModel.Rd
systemicrisk/man/default_clearing.Rd
systemicrisk/man/Model.fitness.meandegree.Rd
systemicrisk/man/findFeasibleMatrix_targetmean.Rd
systemicrisk/man/Model.p.Fitness.Servedio.Rd
systemicrisk/man/diagnose.Rd
systemicrisk/man/Model.lambda.Gammaprior_mult.Rd
systemicrisk/man/default_cascade.Rd
systemicrisk/man/sample_ERE.Rd
systemicrisk/man/Model.p.Betaprior_mult.Rd
systemicrisk/man/Model.lambda.GammaPrior.Rd
systemicrisk/man/Model.p.BetaPrior.Rd
systemicrisk/man/findFeasibleMatrix.Rd
systemicrisk/man/default.Rd
systemicrisk/man/choosethin.Rd
systemicrisk/man/Model.additivelink.exponential.fitness.Rd
systemicrisk/man/Model.fitness.genlambdaparprior.Rd
systemicrisk/man/steps_ERE.Rd
systemicrisk/man/genL.Rd
systemicrisk/man/Model.Indep.p.lambda.Rd
systemicrisk/man/cloneMatrix.Rd
systemicrisk/man/Model.lambda.constant.Rd
systemicrisk/man/ERE_step_cycle.Rd
systemicrisk/man/Model.p.constant.Rd
systemicrisk/man/GibbsSteps_kcycle.Rd
systemicrisk/man/getfeasibleMatr.Rd
systemicrisk/man/Model.fitness.conditionalmeandegree.Rd