bank_behavior_function: bank_behavior_function

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

Description

This function computes bank-behavior according to Assumption 2 in the paper. It gives for any value of the discount factor delta a B x 1 (number of banks times 1) vector of the share sold of any security class in a fire sale. If a bank does not engage in a fire sale at the given discount factor the component of theta belonging to this bank is 0. If the bank sells its entire bond portfolio this share is 1.

Usage

bank_behavior_function(del, mat, lb)

Arguments

del	an I x 1 (number of security classes times 1) vector of discount factors with each entry in [0,1]
mat	A list with all matrices of state variables. The output of make_state_variables
lb	a real number specifying the leverage threshold a_1/e_1 above which banks start to sell bonds.

Value

A I x 1 (number of security classes times 1) vector of selling shares in each of the marketable asset classes.

Examples

stress_data <- make_stress_data(eba_exposures_2016, eba_impairments_2016, 1, 2015)
matrices <- make_state_variables(stress_data)
delta <- rep(0, dim(matrices$S_0)[2])
bank_behavior_function(delta, matrices, 33)

Martin-Summer-1090/syslosseval documentation built on Dec. 17, 2021, 3:14 a.m.