systemicrisk: A Toolbox for Systemic Risk

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.

AuthorAxel Gandy and Luitgard A.M. Veraart
Date of publication2017-01-08 13:37:33
MaintainerAxel Gandy <a.gandy@imperial.ac.uk>
LicenseGPL-3
Version0.4

View on CRAN

Man pages

calibrate_ER: Calibrate ER model to a given density

calibrate_FitnessEmp: Calibrate empirical fitness model to a given density

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/AdjustableModels.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/calibrate_FitnessEmp.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/calibrate_ER.Rd systemicrisk/man/Model.p.constant.Rd systemicrisk/man/GibbsSteps_kcycle.Rd systemicrisk/man/getfeasibleMatr.Rd systemicrisk/man/Model.fitness.conditionalmeandegree.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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