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>.

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>
License: GPL-3
NeedsCompilation: no
CRAN checks: SystemicR results


Reference manual: SystemicR.pdf


Package source: SystemicR_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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


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