MATLAB Code for "A crisis of confidence: The counterparty-liquidity risk nexus in an agent-based network model of the interbank market" by N.K. Scholtes (2017)
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Dec 20, 2017 - MATLAB
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financial-stability
Here are 6 public repositories matching this topic...
Simulations to demonstrate the effect of core-periphery network structures on the stability of interbank networks.
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Jun 10, 2020 - Jupyter Notebook
End-to-End Python implementation of Markov-Switching VAR framework for detecting endogenous financial fragility. Replicates Delli Gatti et al.'s (2025) methodology using EM algorithm, Hamilton filtering, and HP spectral decomposition to empirically test Minsky's Financial Instability Hypothesis in macroeconomic data.
python jupyter-notebook scientific-computing econometrics data-analysis nonlinear-dynamics em-algorithm time-series-analysis macroeconomics statistical-modeling vector-autoregression financial-stability financial-economics markov-switching business-cycles economic-cycles systemic-risk regime-switching research-replication minsky-hypothesis
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Nov 23, 2025 - Jupyter Notebook
Macro-financial stress testing framework projecting UK bank capital under baseline and adverse macroeconomic scenarios.
python stress-testing banking quantitative-finance macroeconomics financial-stability financial-risk capital-adequacy regulatory-risk
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Dec 28, 2025 - Python
MSc. Thesis docuemnt and code.
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Mar 21, 2019 - MATLAB
📊 Explore regime changes and real financial cycles through Minsky's hypothesis in a nonlinear framework, enhancing macroeconomic and financial analysis.
python jupyter-notebook econometrics data-analysis nonlinear-dynamics em-algorithm time-series-analysis statistical-modeling vector-autoregression financial-stability financial-economics markov-switching business-cycles economic-cycles systemic-risk regime-switching research-replication minsky-hypothesis
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Dec 29, 2025 - Jupyter Notebook
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