CRAN/E | SystemicR

SystemicR

Monitoring Systemic Risk

Installation

About

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.

Key Metrics

Version 0.1.0
R ≥ 2.10
Published 2020-05-08 1053 days ago
Needs compilation? no
License GPL-3
CRAN checks SystemicR results

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Maintainer

Maintainer

Jean-Baptiste Hasse

jb-hasse@hotmail.fr

Authors

Jean-Baptiste Hasse

aut / cre

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 2.10

Imports

igraph
Matrix
quantreg
xts