we've started releasing bits and pieces of a new open source tool we are building (the Solstice simulation framework) on our github repo and more is comming over the next weeks. You can check out the first installment of the Solstice manual which describes the analytic framework behind Solstice.
The analytic framework has the following core components:
- A representation of economic entities as property graphs (nodes and edges with associated attributes) as discussed in our earlier white papers (number 8 and 10 in particular)
- A representation of network-wide factors and dynamics drivers as macro variables
- Sources of uncertainty (both macro (system-wide) and idiosyncratic (entity-specific)
- A discrete temporal grid where future states of the economic network and (any) macro variables are modeled
- Network evolution along the temporal grid due to both deterministic and stochastic elements that follows by a variety of risk distributions / models using potentially a combination of model components (satellite models)
- Bottom up composition of network state changes using elementary "system updates"
- Ability to condition on specific realizations of (in particular) macro factors, which emulates scenario analysis / stress testing
- Introducing special entities that interact with the network in systemic ways (e.g. financial intermediaries, sovereigns or regulatory entities) with specialized internal states
- Collection of sampling statistics of network evolution and distillation of useful risk metrics and reports
If you are interested to use and/or contribute to our open source projects please follow and star them on github and (if appropriate) raise issues with ideas or functionality that you would like to see.