CATFIN for every firm - Githubissues

TommasoBelluzzo / SystemicRisk

A framework for financial systemic risk valuation and analysis.

Apache License 2.0

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CATFIN for every firm #10

Closed NicuSV closed 3 years ago

NicuSV commented 4 years ago

Dear Tommaso,

It is possible to adjust the code to diplay the results in a excel file for CATFIN, Absorbtion Ratio and Turbulence index for every firm in part, not the average for the whole sample?

Thanks!

TommasoBelluzzo commented 4 years ago

Dear Nicu, I don't think it's possible to do what you ask for. At least not for all the measures. Let's take the absorption ratio, which is defined as the fraction variance of a set of assets explained by a specific number of eigenvectors. How should that look like when applied to a vector?

NicuSV commented 4 years ago

@TommasoBelluzzo, Sorry, the question should have been stated in terms of "possible measures". Thanks.

TommasoBelluzzo commented 4 years ago

I think that only CATFIN can be run on single names. And I can totally handle that. No idea how much time it will take, though. Depends on my workload actually.

NicuSV commented 4 years ago

@TommasoBelluzzo, Nice work, thanks again for your readiness to help. Cheers!

Nicu

TommasoBelluzzo commented 3 years ago

Hi Nicu, I tried to implement that but there are some major issues:

the code has become too slow, actually one of the slowest ones in the package;
there are problems handling defaulted firms and sequential plots.

For the moment, I close this request and I suggest you to dissect my code to obtain what you are looking for. I'll try to undertake that in the future but for the moment it's not really a priority in the context of measuring systemic risk.

Best, Tommaso