make_L1: make_L1

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

Description

This function takes the dataframe which assembles the stresstest data from exposures and impairments, the output of make_stress_data(), and constructs a matrix giving the loan exposure in all IRB exposure classes for all banks. The IRB exposure classes are Central banks and central governments, institutions, retail, corporates, equity, other non-credit obligation assets and a residual position (the difference between the sum of the value of all EBA exposures and reported total assets in the balance sheet, if there is such a difference. Otherwise the residual position has value zero.) The loan exposures in L_1 are reduced by the projected losses of the stress test for each exposure category.

Usage

make_L1(data)

Arguments

data	a dataframe which is the output of make_stress_data()

Value

a B x J (number of banks x number of IRB exposure categories + 1)

Examples

stress_data <- make_stress_data(eba_exposures_2016, eba_impairments_2016, 1, 2015)
make_L1(stress_data)

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