Default of Banks

Share:

Description

Computes bank defaults based on a liabilities matrix and external assets and liabilities.

Usage

1
default(L, ea, el = 0, method = c("clearing", "cascade"), ...)

Arguments

L

liability matrix

ea

vector of external assets

el

vector of external liabilites.

method

the method to be used. See Details.

...

Additional information for the various methods. See Details.

Value

A list with at least one element "defaultind", which is a vector indicating which banks default (1=default, 0= no default). Depending on the method, other results such as the clearing vector may also be reported.

See Also

default_cascade, default_clearing,

Examples

1
2
3
4
5
6
ea <- c(1/2,5/8,3/4)
el <- c(3/2,1/2,1/2)
x <- 0.5
L <- matrix(c(0,x,1-x,1-x,0,x,x,1-x,0),nrow=3)
default(L,ea,el)
default(L,ea,el,"cascade")

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.