Book Image

Mastering R for Quantitative Finance

Book Image

Mastering R for Quantitative Finance

Overview of this book

Table of Contents (20 chapters)
Mastering R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Index

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 and the contract sizes matter.

Table 13.1: The data set of the transaction

With all this information, we can put together the matrix of a financial market (which can be visualized as a network).

The matrix used

The first step will be the core-periphery...