Package: SystemicR 0.1.0
SystemicR: Monitoring Systemic Risk
The past decade has demonstrated an increased need to better understand risks leading to systemic crises. This framework offers scholars, practitioners and policymakers a useful toolbox to explore such risks in financial systems. Specifically, this framework provides popular econometric and network measures to monitor systemic risk and to measure the consequences of regulatory decisions. These systemic risk measures are based on the frameworks of Adrian and Brunnermeier (2016) <doi:10.1257/aer.20120555> and Billio, Getmansky, Lo and Pelizzon (2012) <doi:10.1016/j.jfineco.2011.12.010>.
Authors:
SystemicR_0.1.0.tar.gz
SystemicR_0.1.0.zip(r-4.5)SystemicR_0.1.0.zip(r-4.4)SystemicR_0.1.0.zip(r-4.3)
SystemicR_0.1.0.tgz(r-4.4-any)SystemicR_0.1.0.tgz(r-4.3-any)
SystemicR_0.1.0.tar.gz(r-4.5-noble)SystemicR_0.1.0.tar.gz(r-4.4-noble)
SystemicR_0.1.0.tgz(r-4.4-emscripten)SystemicR_0.1.0.tgz(r-4.3-emscripten)
SystemicR.pdf |SystemicR.html✨
SystemicR/json (API)
| # Install 'SystemicR' in R: |
| install.packages('SystemicR', repos = c('https://jbhasse.r-universe.dev', 'https://cloud.r-project.org')) |
- data_state_variables - State variables
- data_stock_returns - Financial institutions (banks, insurers and asset managers) stock returns
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:e16053dc44. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 17 2024 |
| R-4.5-win | OK | Nov 17 2024 |
| R-4.5-linux | OK | Nov 17 2024 |
| R-4.4-win | OK | Nov 17 2024 |
| R-4.4-mac | OK | Nov 17 2024 |
| R-4.3-win | OK | Nov 17 2024 |
| R-4.3-mac | OK | Nov 17 2024 |
Exports:f_correlation_network_measuresf_CoVaR_Delta_CoVaR_i_qf_CoVaR_Delta_CoVaR_i_q_tf_plotf_scale
Dependencies:clicpp11glueigraphlatticelifecyclemagrittrMASSMatrixMatrixModelspkgconfigquantregrlangSparseMsurvivalvctrsxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| State variables | data_state_variables |
| Financial institutions (banks, insurers and asset managers) stock returns | data_stock_returns |
| Dynamic systemic risk measures from correlation-based networks. | f_correlation_network_measures |
| Computing static CoVaR and Delta CoVaR | f_CoVaR_Delta_CoVaR_i_q |
| Computing dynamic CoVaR and Delta CoVaR | f_CoVaR_Delta_CoVaR_i_q_t |
| Plot dynamic risk measures | f_plot |
| Rescale | f_scale |
