example_multiple_equilibria: A toy example to illustrate the possibility of multiple fire...

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

Description

This is a toy dataset for the example in Breuer, Summer, Urosevic, Appendix A3

Usage

example_multiple_equilibria

Format

A list with 7 objects

e_0

3 x 1 vector of equity at t= 0 of three banks

S_0

3 x 1 vector of security values at t = 0 for three banks

L_0

3 x 1 vectore of loan values at t = 0 for three banks

e_1

3 x 1 vector of equity at t = 1 of three banks

S_1

3 x 1 vector of security values at t = 1 for three banks

L_1

3 x 1 vectore of loan values at t = 1 for three banks

theta

3 x 1 initialization vector for fire sale proportions set to 0

Source

Breuer, T. and Summer M., and Urosevic B., "Systemic Loss Evaluation", A3.

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