Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk

By Katerina Rigana, Ernst C. Wit, Samantha Cook

Published 2024-02-12

Everscope rating

1477.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Causal Network Contagion Value at Risk (Causal-NECO VaR). Problem types: Risk Management, Time Series Forecasting, Causal Inference.

arXiv:2402.06032 · Paper rankings

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