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>.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | igraph, Matrix, quantreg, xts |
| Published: | 2020-05-08 |
| DOI: | 10.32614/CRAN.package.SystemicR |
| Author: | Jean-Baptiste Hasse [aut, cre] |
| Maintainer: | Jean-Baptiste Hasse <jb-hasse at hotmail.fr> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | SystemicR results |
| Reference manual: | SystemicR.html , SystemicR.pdf |
| Package source: | SystemicR_0.1.0.tar.gz |
| Windows binaries: | r-devel: SystemicR_0.1.0.zip, r-release: SystemicR_0.1.0.zip, r-oldrel: SystemicR_0.1.0.zip |
| macOS binaries: | r-release (arm64): SystemicR_0.1.0.tgz, r-oldrel (arm64): SystemicR_0.1.0.tgz, r-release (x86_64): SystemicR_0.1.0.tgz, r-oldrel (x86_64): SystemicR_0.1.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=SystemicR to link to this page.
Need a high-speed mirror for your open-source project?
Contact our mirror admin team at info@clientvps.com.
This archive is provided as a free public service to the community.
Proudly supported by infrastructure from VPSPulse , RxServers , BuyNumber , UnitVPS , OffshoreName and secure payment technology by ArionPay.