make_table_final_state: make_table_final_state

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

Description

This function takes the list of state values and the output of the fixed point computation and generates a B times 4 dataframe with the Bank_name, a_1_tau, e_1_tau, and lambda_1_tau

Usage

make_table_final_state(dat, fp, lb)

Arguments

dat	a list of state matrices. The output of make_state_variables
fp	a dataframe. The output of fixed_point_computation_function
lb	a real number specifiying the leverage threshold. Same threshold as in fixed_point_computation_function

Value

a B times 4 dataframe with the variables Bank_name, a_1_tau, e_1_tau, and lambda_1_tau if the fixed point is unique a B times 7 dataframe with the variables Bank_name, a_1_tau_lower, a_1_tau_upper, e_1_tau_lower, e_1_tau_lower and lambda_1_tau_lower, lambda_1_tau_upper

Examples

stress_data <- make_stress_data(eba_exposures_2016, eba_impairments_2016, 1, 2015)
state_variables <- make_state_variables(stress_data)
fixed_points <- fixed_point_computation_function(
  mat = state_variables, lb = 33,
  data_idx = sovereign_bond_indices,
  data_adv = average_daily_volume_sovereign,
  base_year = 2015,
  constant = 1.5
)
make_table_final_state(state_variables, fixed_points, 33)

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