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SystemicR  

Monitoring Systemic Risk
View on CRAN: Click here


Download and install SystemicR package within the R console
Install from CRAN:
install.packages("SystemicR")

Install from Github:
library("remotes")
install_github("cran/SystemicR")

Install by package version:
library("remotes")
install_version("SystemicR", "0.1.0")



Attach the package and use:
library("SystemicR")
Maintained by
Jean-Baptiste Hasse
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-05-08
Latest Update: 2020-05-08
Description:
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>.
How to cite:
Jean-Baptiste Hasse (2020). SystemicR: Monitoring Systemic Risk. R package version 0.1.0, https://cran.r-project.org/web/packages/SystemicR. Accessed 26 Oct. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited SystemicR R package
View SystemicR citation profile
Other R packages that SystemicR depends, imports, suggests or enhances
Complete documentation for SystemicR
Functions, R codes and Examples using the SystemicR R package
Some associated functions: data_state_variables . data_stock_returns . f_CoVaR_Delta_CoVaR_i_q . f_CoVaR_Delta_CoVaR_i_q_t . f_correlation_network_measures . f_plot . f_scale . 
Some associated R codes: Functions_SystemicR.R .  Full SystemicR package functions and examples
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