The dataset used in our examples
In this chapter, we will use a fictional banking system and its interbank deposit market. We use this market as it usually has the biggest potential loss because these transactions are not collateralized.
For this analysis, we need a connected network, so we constructed one. This network should contain information on the exposure of banks against each other. Usually, we have data on the transaction, like in Table 13.1. Since the average maturity of transactions is very low on the interbank market, it is also possible to use this data. For example, we can construct the network by using the average monthly transaction size between every pair of banks. For this type of analysis, only the partners of each transaction ...
Get R: Data Analysis and Visualization now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
