The package is available on CRAN.
A toolbox for systemic risk based on liabilities matrices. Contains
a Gibbs sampler for liabilities matrices where only row and
column sums of the liabilities matrix are observed. It is
based on the following paper:
Gandy, Axel and Veraart, Luitgard A. M., A Bayesian Methodology for Systemic Risk Assessment in Financial Networks (March 19, 2015). To appear in Management Science. Available at SSRN http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2580869 This package is available on CRAN. It contains a short example.
An implementation of the chopthin-algorithm for resampling of particles described in
G&Lau (2015). The chopthin algorithm for resampling. arXiv:1502.07532
The implementation is C++ based (chopthin_C++.zip contains the main code and an example). Also available are an R-package (chopthin on CRAN) a python package and a MATLAB MEX file (chopthin_MEX.zip).
These functions implement the method described in the Appendix of Gandy, Kvaloy, Bottle & Zhou (2010), Biometrika 97 (2): 375-388. The implementation is written in R.
It is available in a git repository on Bitbucket
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