A Toolbox for Systemic Risk

A toolbox for systemic risk based on liabilities matrices. Contains a Gibbs sampler for liabilities matrices where only row and column sums of the liabilities matrix as well as some other fixed entries are observed. Includes models for power law distribution on the degree distribution.


Reference manual

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0.4.2 by Axel Gandy, 2 years ago

Browse source code at https://github.com/cran/systemicrisk

Authors: Axel Gandy and Luitgard A.M. Veraart

Documentation:   PDF Manual  

GPL-3 license

Imports lpSolve, Rcpp, stats, utils

Suggests coda, testthat, knitr

Linking to Rcpp

See at CRAN