Description Usage Arguments Value Examples
View source: R/make_stress_data.R
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
.
1 | make_stress_data(exposure_data, impairment_data, horizon, base_year)
|
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) |
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)
1 | |
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