Connecting the Dots: Economic Networks as Property Graphs We develop a quantitative framework that approaches economic networks from the point of view of contractual relationships between agents (and the interdependencies those generate). The representation of agent properties, transactions and contracts is done in the context of a property graph.
A typical use case for the proposed framework is the study of credit networks.
You can find the white paper here: (OpenRiskWP08_131219)
Open Risk White Paper 8: Connecting the Dots, Economic Networks as Property Graphs We develop a quantitative framework that approaches economic networks from the point of view of contractual relationships between agents (and the interdependencies those generate). The representation of agent properties, transactions and contracts is done in the context of a property graph. A typical use case for the proposed framework is the study of credit networks.
Download OpenRiskWP12_230922 PDF
The challenge with historical credit data Historical credit data are vital for a host of credit portfolio management activities: Starting with assessment of the performance of different types of credits and all the way to the construction of sophisticated credit risk models. Such is the importance of data inputs that for risk models impacting significant decision-making / external reporting there are even prescribed minimum requirements for the type and quality of necessary historical credit data.
Release of version 0.3 of the ConcentrationMetrics Library Further building out the OpenCPM set of tools, we release version 0.3 of the ConcentrationMetrics Library. This python library for the computation of various concentration, diversification and inequality indices.
The below list provides documentation URL’s for each one of the implemented indexes
Atkinson Index Concentration Ratio Berger-Parker Index Herfindahl-Hirschman Index Hannah-Kay Index Gini Index Theil Index Shannon Index Generalized Entropy Index Kolm Index The image illustrates a simple use of the library where the HHI and Gini indexes are computed and compared for a range of randomly generated portfolio exposures.
