SystemicRisk:系统风险评估和分析框架 源码

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