Risk Management

Ricci curvature is a compelling indicator for assessing fragility at the edge level of asset networks, focusing on how tightly assets are connected rather than their individual characteristics. The higher the level, the higher the risk of risk transmission between the asset classes in the market.

The current level suggests low market enwironment with small risk of risk spillover. 

The entropy of a asset network serves as a measure of structure and measures transition rates between nodes while disregarding direct links. This is an indicator for the risk on the individual asset level. The higher the level, the higher the risk associated with the individual assets.

The current level suggest historically elevated risk of sindividual assets.

Model probabilistically the causal average effects using treatment effects, dilation effects, and potential outcomes of risk and return to other asset classes. absolutely novel technique that models interactions and spillover effects from one asset to other. A negative impact of -5% on S&P500, US dollar, and the US Treasuries results in:

Combined Effects -4.2%

Direct Effects -17.7%

Indirect Effects -4.4%

Uses persistent diagrams to identify change in the dynamics of spreads between assets. Prone to noise due to application of different threshold levels it clearly identifies turbulence and asset abnormal behavior. 

 

Containing a compromise index, refers to a set of variables that identify the risk associated with the interacting assets in the network. 

 

The effect of decreasing payoff for of a investment strategy in the case of an increasing number of investors applying the same strategy.

The current level of 0.25 suggest low crowdedness of  assets.