Find file History
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
..
Failed to load latest commit information.
.ipynb_checkpoints
.latex
abm_template
configs
measurements
networkx
output
plotting
src
tests
.latex.json
.spyderworkspace
README.md
firesale.py
firesale_illiquidity_exp_long_shock_list.py
firesale_illiquidity_experiment.py
firesale_one_shock.py
shocks.py

README.md

This simulation uses an extension of Greenwood et al (2015) to stress-test the South African banking sector given shock scenarios.

Simple use:

python firesale.py -0.5 -0.2 -0.2 m_14

m_14 is one of 23 asset classes. It's also possible to specify shocks and simulation parameters in the config files firesale.xml, shock.xml.

Important: use python 2.7 and pandas <= 19.0.2 to run.

Paper: