It seems that most of the code and data for the simulations is available from one of these two places, but I haven’t verified any of it myself. In the original paper they explicitly use very simplified models to demonstrate the concept, which makes sense to me because there are a lot of different layers to the problem; but I feel like the details of how the risk is simulated are very important to the results going forward, and I don’t have a clue what the conventions are for that. Or if the conventions are good.
That being said, it seems like a good case for application of risk distribution in general. A huge amount of problems seem like they would be reduced if we followed the dictum of insuring inevitable costs and securitizing necessary assets.
Andrew Lo’s website is here.
Roger Stein’s website is here.
It seems that most of the code and data for the simulations is available from one of these two places, but I haven’t verified any of it myself. In the original paper they explicitly use very simplified models to demonstrate the concept, which makes sense to me because there are a lot of different layers to the problem; but I feel like the details of how the risk is simulated are very important to the results going forward, and I don’t have a clue what the conventions are for that. Or if the conventions are good.
That being said, it seems like a good case for application of risk distribution in general. A huge amount of problems seem like they would be reduced if we followed the dictum of insuring inevitable costs and securitizing necessary assets.