make_e1: make_e1

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 vector giving the common tier 1 equity of all banks at t = 1, which is common tier 1 equity minus losses from the stressed impairments. The components of the vector e_1 are the differecne between the components of e_0 minus the projected losses of the stress test. If these losses exceed e_0, e_1 is set to zero.

Usage

make_e1(data)

Arguments

data	a dataframe which is the output of make_stress_data()

Value

a B x 1 (number of banks x 1) with Core tier1 equity capital of all banks at t = 1.

Examples

stress_data <- make_stress_data(eba_exposures_2016, eba_impairments_2016, 1, 2015)
make_e1(stress_data)

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