系统性风险
该框架计算,分析和比较以下系统性风险度量:
组件措施
AR (Absorption Ratio)
CATFIN ,
CS (Correlation Surprise)
TI (Turbulence Index)
Principal Component Analysis
连接措施
DCI (Dynamic Causality Index)
CIO ("In & Out" Connections)
CIOO ("In & Out - Other" Connections)
Network Centralities: Betweenness, Degree, Closeness, Clustering, Eigenvector & Katz
参考文献:
交叉措施
JPoD (Joint Probability of Default)
FSI (Financ
2022-11-21 00:33:31
9.34MB
系统开源
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