default_cascade: Default Cascade

In systemicrisk: A Toolbox for Systemic Risk

Description

Computes bank defaults via the default cascade algorithm.

Usage

default_cascade(L, ea, el = 0, recoveryrate = 0)

Arguments

L	liability matrix
ea	vector of external assets
el	vector of external liabilites (default 0)
recoveryrate	recovery rate in [0,1] (defaults to 0)

Value

vector indicating which banks default (1=default, 0= no default)

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_cascade(L,ea,el)

systemicrisk documentation built on May 30, 2017, 1:47 a.m.

Default of Banks

systemicrisk index

Clearing Vector with Bankruptcy Costs