default: Default of Banks

In systemicrisk: A Toolbox for Systemic Risk

Description

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

Usage

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

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")

systemicrisk documentation built on May 2, 2019, 9:26 a.m.