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.


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Reference manual

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install.packages("systemicrisk")

0.4.2 by Axel Gandy, 2 months 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