Equity_after_shock: Calculate the residual equity of the banking network after...
In Jinshuyue98/SC190: Final homework for 'Statistical Computing' course
Description
Usage
Arguments
Value
Examples
View source: R/Equity_after_shock.R
Description
Calculate the residual owner's equity of the banking network after the shock.We use the method in "A Bayesian Methodology for Systemic Risk Assessment in Financial Networks" to calculate the interbank debt matrix.We use the method in "Distress and default contagion in financial networks" to calculate the equity matrix.
Usage
1
Equity_after_shock(Epreall, Aall, Lall, Aball, Lball, p, k, a, b, beta, R)
Arguments
Epreall
the equity before the shock
Aall
total assets
Lall
total liabilities
Aball
inter-bank assets
Lball
inter-bank liabilities
p
probability of inter-bank liabilities
k
parameter modelling the capital cushion
a, b
determining the shape of the cdf of the Beta distribution
beta
parameter modelling the actual exogenous recovery rate
R
parameter modelling the perceived exogenous recovery rate
Value
a equity matrix of the banking network after the shock
Examples
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## Not run:
A2018<-c(2769954000,2322269300,2126727500,2260947100,953117100,674572900)
L2018<-c(2535465700,2123109900,1954187800,2093468400,882586300,620212400)
Epre2018<-c(234488300,199159400,172539700,167478700,70530800,54360500)
Ab2018<-c(57780300,34972700,78176100,55201300,56477800,31341100)
Lb2018<-c(70461833,60893785,47421310,47173804,58444388,29554180)
A2017<-c(2608704300,2212438300,1946742400,2105338200,903825400,629763800)
L2017<-c(2394598700,2032855600,1789074500,1962398500,836198300,581424600)
Epre2017<-c(214105600,179582700,157667900,142939700,67627100,48339200)
Ab2017<-c(47753700,32523300,48655900,50526900,57076600,15462800)
Lb2017<-c(58630225,45721989,28804785,33377591,52960249,32504361)
A2016<-c(2413726500,2096370500,1814888900,1957006100,840316600,594231100)
L2016<-c(2215610200,1937405100,1666179700,1824847000,777075900,553894900)
Epre2016<-c(198116300,158965400,148709200,132159100,63240700,40336200)
Ab2016<-c(52741500,26067000,48392900,58094900,46779100,20025100)
Lb2016<-c(65863017,42478615,24550718,39775516,46656201,32776433)
A2015<-c(2220978000,1834948900,1681559700,1779139300,715536200,547497800)
L2015<-c(2040926100,1690440600,1545799200,1657950800,661727000,511322000)
Epre2015<-c(180051900,144508300,135760500,121188500,53809200,36175800)
Ab2015<-c(47223400,31077900,35021800,50425200,35681200,18569300)
Lb2015<-c(57837485,38959978,32024949,38239057,29287800,21649531)
A2014<-c(2060995300,1674413000,1525138200,1597415200,626829900,473182900)
L2014<-c(1907264900,1549176700,1406795400,1494153300,579469400,441676900)
Epre2014<-c(153730400,125236300,118342800,103261900,47360500,31506000)
Ab2014<-c(47850300,24852500,29911100,40706200,17231800,12408500)
Lb2014<-c(55175483,25823315,24020165,28696639,27174942,12069856)
A2013<-c(1891775200,1536321000,1387429900,1456210200,596093700,401639900)
L2013<-c(1763928900,1428888100,1291282200,1371756500,553945300,375044300)
Epre2013<-c(127846300,107432900,96147700,84453700,42148400,26595600)
Ab2013<-c(41161800,15206500,40200100,30865500,19705700,14804700)
Lb2013<-c(48795965,18918097,32506094,21156230,25385098,15182816)
A2012<-c(1754221700,1397282800,1268061500,1324434200,527337900,340821900)
L2012<-c(1641375800,1302321900,1181907300,1249298800,489193200,320771200)
Epre2012<-c(112845900,94960900,86154200,75135400,38144700,20050700)
Ab2012<-c(22451300,12965300,34925100,22338000,15378700,10342000)
Lb2012<-c(27821819,13162776,26657313,16387905,22350645,12019942)
A2011<-c(1547686800,1228183400,1183006600,1167757700,461117700,279497100)
L2011<-c(1451904500,1146517300,1107417200,1102778900,433838900,262996100)
Epre2011<-c(95782300,81666100,75589400,64978800,27278800,16501000)
Ab2011<-c(16051600,10904000,45466800,21268000,14872600,13138100)
Lb2011<-c(33765670,10641493,31251723,14727772,22192429,9122013)
A2010<-c(1345862200,1081031700,1045986500,1033740600,395159300,240250700)
L2010<-c(1263696500,1010941200,978371500,979517000,372793600,226850100)
Epre2010<-c(82165700,70090500,67615000,54223600,22365700,13400600)
Ab2010<-c(6491800,6396200,13698400,9537500,7961000,5891700)
Lb2010<-c(11457752,6044018,14186825,5171232,8960508,4156265)
A2009<-c(1178505300,962335500,875194300,888258800,330913700,206794100)
L2009<-c(1110611900,906433500,820654900,853966300,314471200,197515800)
Epre2009<-c(67893400,55902000,54539400,34292500,16442500,9278300)
Ab2009<-c(7790600,2221700,13893300,4943500,4329700,6239700)
Lb2009<-c(7526027,4062247,11167556,2803930,9135686,4723054)
A2008<-c(975765400,755545200,695569400,701435100,267825500,157179700)
L2008<-c(915051600,708789000,646179300,672381000,253261300,149201600)
Epre2008<-c(60713800,46756200,49390100,29054100,14564200,7978100)
Ab2008<-c(12679200,1683600,38574800,4447900,8953900,8183600)
Lb2008<-c(9565698,7686508,35243319,6085835,9194103,6747537)
Aall<-cbind(A2008,A2009,A2010,A2011,A2012,A2013,A2014,A2015,A2016,A2017,A2018)
Lall<-cbind(L2008,L2009,L2010,L2011,L2012,L2013,L2014,L2015,L2016,L2017,L2018)
Epreall<-cbind(Epre2008,Epre2009,Epre2010,Epre2011,Epre2012,Epre2013,Epre2014,Epre2015,Epre2016,Epre2017,Epre2018)
Aball<-cbind(Ab2008,Ab2009,Ab2010,Ab2011,Ab2012,Ab2013,Ab2014,Ab2015,Ab2016,Ab2017,Ab2018)
Lball<-cbind(Lb2008,Lb2009,Lb2010,Lb2011,Lb2012,Lb2013,Lb2014,Lb2015,Lb2016,Lb2017,Lb2018)
library("systemicrisk")
p<-0.5
k<-0.025
a<-b<-1
beta<-0.2
R<-0.5
Equity_after_shock(Epreall,Aall,Lall,Aball,Lball,p,k,a,b,beta,R)
## End(Not run)
Jinshuyue98/SC190 documentation built on Jan. 3, 2020, 12:07 a.m.
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Description Usage Arguments Value Examples
View source: R/Equity_after_shock.R
Description
Calculate the residual owner's equity of the banking network after the shock.We use the method in "A Bayesian Methodology for Systemic Risk Assessment in Financial Networks" to calculate the interbank debt matrix.We use the method in "Distress and default contagion in financial networks" to calculate the equity matrix.
Usage
1 | Equity_after_shock(Epreall, Aall, Lall, Aball, Lball, p, k, a, b, beta, R)
|
Arguments
Epreall |
the equity before the shock |
Aall |
total assets |
Lall |
total liabilities |
Aball |
inter-bank assets |
Lball |
inter-bank liabilities |
p |
probability of inter-bank liabilities |
k |
parameter modelling the capital cushion |
a, b |
determining the shape of the cdf of the Beta distribution |
beta |
parameter modelling the actual exogenous recovery rate |
R |
parameter modelling the perceived exogenous recovery rate |
Value
a equity matrix of the banking network after the shock
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 | ## Not run:
A2018<-c(2769954000,2322269300,2126727500,2260947100,953117100,674572900)
L2018<-c(2535465700,2123109900,1954187800,2093468400,882586300,620212400)
Epre2018<-c(234488300,199159400,172539700,167478700,70530800,54360500)
Ab2018<-c(57780300,34972700,78176100,55201300,56477800,31341100)
Lb2018<-c(70461833,60893785,47421310,47173804,58444388,29554180)
A2017<-c(2608704300,2212438300,1946742400,2105338200,903825400,629763800)
L2017<-c(2394598700,2032855600,1789074500,1962398500,836198300,581424600)
Epre2017<-c(214105600,179582700,157667900,142939700,67627100,48339200)
Ab2017<-c(47753700,32523300,48655900,50526900,57076600,15462800)
Lb2017<-c(58630225,45721989,28804785,33377591,52960249,32504361)
A2016<-c(2413726500,2096370500,1814888900,1957006100,840316600,594231100)
L2016<-c(2215610200,1937405100,1666179700,1824847000,777075900,553894900)
Epre2016<-c(198116300,158965400,148709200,132159100,63240700,40336200)
Ab2016<-c(52741500,26067000,48392900,58094900,46779100,20025100)
Lb2016<-c(65863017,42478615,24550718,39775516,46656201,32776433)
A2015<-c(2220978000,1834948900,1681559700,1779139300,715536200,547497800)
L2015<-c(2040926100,1690440600,1545799200,1657950800,661727000,511322000)
Epre2015<-c(180051900,144508300,135760500,121188500,53809200,36175800)
Ab2015<-c(47223400,31077900,35021800,50425200,35681200,18569300)
Lb2015<-c(57837485,38959978,32024949,38239057,29287800,21649531)
A2014<-c(2060995300,1674413000,1525138200,1597415200,626829900,473182900)
L2014<-c(1907264900,1549176700,1406795400,1494153300,579469400,441676900)
Epre2014<-c(153730400,125236300,118342800,103261900,47360500,31506000)
Ab2014<-c(47850300,24852500,29911100,40706200,17231800,12408500)
Lb2014<-c(55175483,25823315,24020165,28696639,27174942,12069856)
A2013<-c(1891775200,1536321000,1387429900,1456210200,596093700,401639900)
L2013<-c(1763928900,1428888100,1291282200,1371756500,553945300,375044300)
Epre2013<-c(127846300,107432900,96147700,84453700,42148400,26595600)
Ab2013<-c(41161800,15206500,40200100,30865500,19705700,14804700)
Lb2013<-c(48795965,18918097,32506094,21156230,25385098,15182816)
A2012<-c(1754221700,1397282800,1268061500,1324434200,527337900,340821900)
L2012<-c(1641375800,1302321900,1181907300,1249298800,489193200,320771200)
Epre2012<-c(112845900,94960900,86154200,75135400,38144700,20050700)
Ab2012<-c(22451300,12965300,34925100,22338000,15378700,10342000)
Lb2012<-c(27821819,13162776,26657313,16387905,22350645,12019942)
A2011<-c(1547686800,1228183400,1183006600,1167757700,461117700,279497100)
L2011<-c(1451904500,1146517300,1107417200,1102778900,433838900,262996100)
Epre2011<-c(95782300,81666100,75589400,64978800,27278800,16501000)
Ab2011<-c(16051600,10904000,45466800,21268000,14872600,13138100)
Lb2011<-c(33765670,10641493,31251723,14727772,22192429,9122013)
A2010<-c(1345862200,1081031700,1045986500,1033740600,395159300,240250700)
L2010<-c(1263696500,1010941200,978371500,979517000,372793600,226850100)
Epre2010<-c(82165700,70090500,67615000,54223600,22365700,13400600)
Ab2010<-c(6491800,6396200,13698400,9537500,7961000,5891700)
Lb2010<-c(11457752,6044018,14186825,5171232,8960508,4156265)
A2009<-c(1178505300,962335500,875194300,888258800,330913700,206794100)
L2009<-c(1110611900,906433500,820654900,853966300,314471200,197515800)
Epre2009<-c(67893400,55902000,54539400,34292500,16442500,9278300)
Ab2009<-c(7790600,2221700,13893300,4943500,4329700,6239700)
Lb2009<-c(7526027,4062247,11167556,2803930,9135686,4723054)
A2008<-c(975765400,755545200,695569400,701435100,267825500,157179700)
L2008<-c(915051600,708789000,646179300,672381000,253261300,149201600)
Epre2008<-c(60713800,46756200,49390100,29054100,14564200,7978100)
Ab2008<-c(12679200,1683600,38574800,4447900,8953900,8183600)
Lb2008<-c(9565698,7686508,35243319,6085835,9194103,6747537)
Aall<-cbind(A2008,A2009,A2010,A2011,A2012,A2013,A2014,A2015,A2016,A2017,A2018)
Lall<-cbind(L2008,L2009,L2010,L2011,L2012,L2013,L2014,L2015,L2016,L2017,L2018)
Epreall<-cbind(Epre2008,Epre2009,Epre2010,Epre2011,Epre2012,Epre2013,Epre2014,Epre2015,Epre2016,Epre2017,Epre2018)
Aball<-cbind(Ab2008,Ab2009,Ab2010,Ab2011,Ab2012,Ab2013,Ab2014,Ab2015,Ab2016,Ab2017,Ab2018)
Lball<-cbind(Lb2008,Lb2009,Lb2010,Lb2011,Lb2012,Lb2013,Lb2014,Lb2015,Lb2016,Lb2017,Lb2018)
library("systemicrisk")
p<-0.5
k<-0.025
a<-b<-1
beta<-0.2
R<-0.5
Equity_after_shock(Epreall,Aall,Lall,Aball,Lball,p,k,a,b,beta,R)
## End(Not run)
|
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