In dkgaraujo/DoddFrankST: Bank-level and aggregate results from the Dodd-Frank Act Stress Tests

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

#knitr::opts_chunk$set(include = FALSE)
library(DoddFrankST)
library(dplyr)

The API is very simple: there is only one function. Its only objective is to return the results of the Dodd-Frank Act Stress Tests to the user in a format that is easy to use with other R functions.

stress_test_results <- bank_results()

When in doubt about the exact definition of the variables, you can find the official data dictionary in the U.S. Board of Governors of the Federal Reserve System's website.

You can see the scenarios available (and their codes) with:

stress_test_results %>% 
  select(scenario_id, scenario_name) %>% 
  unique()

For example, to plot the time series of the estimated loan loss rate for each bank under the supervisory severly adverse scenario (code = 3 as we saw above), you may use the following code:

library(ggplot2)

stress_test_results %>% 
  filter(scenario_id == 3) %>% 
  ggplot(aes(
    x = dt_exercise_quarter, 
    y = loss_total_loan_rate, 
    color = as.factor(disclosure_legal_name))
    ) +
  geom_line(show.legend = FALSE) +
  labs(
    title = "Total projected loan loss, severely adverse scenario",
    x = "Exercise reference period",
    y = "% of projected average loans"
  ) +
  theme(legend.position = "none")

dkgaraujo/DoddFrankST documentation built on Dec. 20, 2021, 12:07 a.m.