MSRASR (Multivariate Shortfall Risk Allocation and Systemic Risk)

The provided IPython notebook codes are the one which were used to illustrate numerical examples of the Multivariate Shortfall Risk Allocation and Systemic Risk article from Armenti, Crépey, Drapeau and Papapantoleon.

Note that the Chebyshev interpolation class in the lib/ directory has its own GitHub repo.