A framework for systemic risk valuation and analysis.
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Updated
Jan 5, 2023 - MATLAB
A framework for systemic risk valuation and analysis.
This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach" (by R. Liu and C.S. Pun)
Some codes used for the numerical examples proposed in https://arxiv.org/abs/1803.00445
Predicting Systemic Risk in Financial Systems Using Deep Graph Learning
Source code, data and plots for our paper "Analysis of Large Market Data Using Neural Networks: A Causal Approach"
Algorithm for reconstructing topology of complex networks from a limited number of links (Bootstrapping method)
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