Risk Contagion Using Graph Theory and Markov Chains
Exploring Risk Contagion Using Graph Theory and Markov Chains
Recent financial crises and periods of market volatility have heightened awareness of risk contagion and systemic risk among financial analysts. As a result, financial professionals are often tasked with constructing and analyzing models that will yield insight into the potential impact of risk on investments, portfolios, and business operations.
Several authors have described the use of advanced mathematical and statistical techniques for quantifying the dependent relationships between investments, foreign exchange rates, industrial sectors, or geographical regions. Bridging the gap between formal methods and a working code implementation is a key challenge for analysts.
This code, along with the corresponding technical article shows how MATLAB® can be used to analyze aspects of risk contagion using various mathematical tools. Topics covered include:
- Data aggregation, preprocessing, and risk benchmarking
- Quantifying dependent relationships between financial variables
- Visualizing the resulting network of dependencies together with proximity information
- Analyzing periods of risk contagion using hidden Markov models
Installation and Getting Started
The examples are provided in a MATLAB project.
- Double-click on the project archive (
Contagion.mlproj
) to extract it using MATLAB. - With MATLAB open, navigate to the newly-created project folder and double-click on the project file (
Contagion.prj
) to open the project. - The example file is the live script
RiskContagion.mlx
within the project.
MathWorks® Product Requirements
This example was updated using MATLAB release R2022b.
License
The license for this entry is available in the license.txt file in this GitHub repository.
Copyright 2016-2023 The MathWorks, Inc.
Community Support
인용 양식
Ken Deeley (2024). Risk Contagion Using Graph Theory and Markov Chains (https://github.com/mathworks/exploring-risk-contagion-using-graph-theory-and-markov-chains/releases/tag/v1.2.3), GitHub. 검색 날짜: .
MATLAB 릴리스 호환 정보
플랫폼 호환성
Windows macOS Linux카테고리
- MATLAB > Mathematics > Graph and Network Algorithms >
- AI and Statistics > Statistics and Machine Learning Toolbox > Descriptive Statistics and Visualization >
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Start Hunting!버전 | 게시됨 | 릴리스 정보 | |
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1.2.3.0 | See release notes for this release on GitHub: https://github.com/mathworks/exploring-risk-contagion-using-graph-theory-and-markov-chains/releases/tag/v1.2.3 |
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1.2.2.0 | See release notes for this release on GitHub: https://github.com/mathworks/exploring-risk-contagion-using-graph-theory-and-markov-chains/releases/tag/v1.2.2 |
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1.2.1 | See release notes for this release on GitHub: https://github.com/mathworks/exploring-risk-contagion-using-graph-theory-and-markov-chains/releases/tag/v1.2.1 |
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1.1.0.1 | Updated license |
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1.1.0.0 | Updated description box. |
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1.0.0.0 |