Risk Contagion Using Graph Theory and Markov Chains

버전 1.2.3.0 (8.89 MB) 작성자: Ken Deeley
This example shows how to analyze aspects of risk contagion in financial time series using various mathematical tools.
다운로드 수: 922
업데이트 날짜: 2023/10/2

Exploring Risk Contagion Using Graph Theory and Markov Chains

View Exploring Risk Contagion Using Graph Theory and Markov Chains on File Exchange

Open in MATLAB Online

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.

  1. Double-click on the project archive (Contagion.mlproj) to extract it using MATLAB.
  2. With MATLAB open, navigate to the newly-created project folder and double-click on the project file (Contagion.prj) to open the project.
  3. 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

MATLAB Central

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
개발 환경: R2016a
R2022b 이상 릴리스와 호환
플랫폼 호환성
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
버전 게시됨 릴리스 정보
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

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

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

1.1.0.1

Updated license

1.1.0.0

Updated description box.

1.0.0.0

이 GitHub 애드온의 문제를 보거나 보고하려면 GitHub 리포지토리로 가십시오.
이 GitHub 애드온의 문제를 보거나 보고하려면 GitHub 리포지토리로 가십시오.