make_state_variables: make_state_variables

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

Description

This function takes the output of make_stress_data as an input generates all the vectors and matrices, the state variables, which are the basis of our loss computations and impact assessments plus an initial fire sales proportion vector with entries 0.

Usage

make_state_variables(stress_data)

Arguments

stress_data

a dataframe which is the output of make_stress_data

Value

A list, with the state variables at t = 0 (observation period) and t = 1 (stress horizon)

e_0

B x 1 (number of banks x 1) vector of core tier 1 equity at t = 0

S_0

B x I (number of banks x number of security classes) matrix of security exposures at t = 0

L_0

B x J (number of Banks x number of loan classes) matrix of loan exposures at t = 0

e_1

B x 1 (number of banks x 1) vector of core tier 1 equity at t=1

S_1

B x I (number of banks x number of security classes) matrix of security exposures at t = 1

L_1

B x J (number of Banks x number of loan classes) matrix of loan exposures at t=1

theta

B x 1 (number of banks x 1) vector of fire sale proportions (a vector of zeros)

Examples

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

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