systemicrisk: 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) <doi:10.1287/mnsc.2016.2546>. It also incorporates models that use a power law distribution on the degree distribution.

Version: 0.4.3
Imports: lpSolve, Rcpp (≥ 0.11.2), stats, utils
LinkingTo: Rcpp
Suggests: coda, testthat, knitr
Published: 2024-05-05
DOI: 10.32614/CRAN.package.systemicrisk
Author: Axel Gandy [aut, cre], Luitgard A.M. Veraart [aut]
Maintainer: Axel Gandy <a.gandy at>
License: GPL-3
NeedsCompilation: yes
Citation: systemicrisk citation info
Materials: NEWS
CRAN checks: systemicrisk results


Reference manual: systemicrisk.pdf
Vignettes: Example: Hierarchical Models
Some Introductory Examples
Non-square Matrices


Package source: systemicrisk_0.4.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): systemicrisk_0.4.3.tgz, r-oldrel (arm64): systemicrisk_0.4.3.tgz, r-release (x86_64): systemicrisk_0.4.3.tgz, r-oldrel (x86_64): systemicrisk_0.4.3.tgz
Old sources: systemicrisk archive


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