Martin-Summer-1090/syslosseval: Provide data and functions to support the analysis in Systemic Loss Evaluation

This package provides all the data and functions which are used for the computations in the paper Breuer, Thomas and Summer, Martin and Uro\v{s}evi\'{c} Branko, 2021, "Systemic Loss Evaluation". In particular it provides exposure and impairmant data for the EBA stress test excercise 2016, the exposure data for the EBA transparency exercise 2020 and data on the average daily volume of sovereign bond turnover for DE, ES, FR, GB, IT, JP, US and the Rest of the World as well as broad sovereign bond indices and average daily volumes of the sovereign bonds for these countries. For the EBA 2020 transparency exercise data an impairment data file is created relying on rules of thumb described in an IMF working paper (Rules of Thumb for Bank Solvency Stress Testing, Daniel Hardy and Christian Schmiederer, IMF WP 13/232). The data are compiled as described in the paper using raw data retrieved from publicly available data on the WWW. The raw data and the R files which compile the data are in the data-raw folder of the package source code and are compressed in a tar.gz archive.

install.packages("remotes")
remotes::install_github("Martin-Summer-1090/syslosseval")