systemicrisk: Systemic Risk and Network Reconstruction
Axel Gandy, Luitgard Anna Maria Veraart · 2015
Analysis of risk through liability matrices. Contains a Gibbs sampler for network reconstruction, where only row and column sums of the liabilities matrix as well as some other fixed entries are observed, following the methodology of Gandy&Veraart (2016) . It also incorporates models that use a power law distribution on the degree distribution.