Systemic Risk and Network Reconstruction

Analysis of risk through liability matrices. Contains a Gibbs sampler for network reconstruction, where only row and column sums of the liabilities matrix as well as some other fixed entries are observed, following the methodology of Gandy&Veraart (2016) . It also incorporates models that use a power law distribution on the degree distribution.


Reference manual

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install.packages("systemicrisk")

0.4.3 by Axel Gandy, 2 years ago


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


Authors: Axel Gandy [aut, cre] , Luitgard A.M. Veraart [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports lpSolve, Rcpp, stats, utils

Suggests coda, testthat, knitr

Linking to Rcpp


See at CRAN