make_stress_data: make_stress_data

Description Usage Arguments Value Examples

View source: R/make_stress_data.R

Description

This function creates from exposure and impairment data a new dataframe which makes all data available for conducting an EBA stress test, given two parameters: horizon, the future horizon of losses assumed by the stress test and base_year.

Usage

1
make_stress_data(exposure_data, impairment_data, horizon, base_year)

Arguments

exposure_data

a dataframe with the exposure data. The exposure data must contain the variables LEI_code (chr), Country_code (chr), Bank_name (chr), Period (num), Country (chr), Exposure (chr), Loan_Amount (num), Bond_Amount (num), Total_Amount (num), Unit (chr), Currency (chr)

impairment_data

a dataframe with the impairment data. The impairment data must contain the variables LEI_code (chr), Country_code (chr), Bank_name (chr), Period (num), Scenario (num), Country (chr), Exposure (chr), Impairment_rate (num)

horizon

stress test horizon (1,2,3 years ahead)

base_year

base year of the stress test (2015 or 2019)

Value

A dataframe with the following variables: LEI_code (chr), Country_code (chr), Bank_name (chr), Period (num), Country (chr), Exposure (chr), Loan_Amount (num), Bond_Amount (num), Total_Amount (num), Loan_Losses (num), Unit (chr), Currency (chr), Impairment_rate (num)

Examples

1

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