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Merged
a1exxd0 merged 2 commits into from
Jun 7, 2026
Merged

feat: finding more intercontinental data #14

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c92a985
feat: extend real roster to 48 entities across APAC/Oceania/MEA/Africa
a1exxd0 Jun 7, 2026
4ee5467
feat: re-run real-network cluster-mixture stress HW pipeline at n=48 …
a1exxd0 Jun 7, 2026
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88 changes: 49 additions & 39 deletions data/external/banks/equity_corr.csv
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14 changes: 12 additions & 2 deletions data/external/banks/equity_corr.meta.json
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Original file line number Diff line number Diff line change
Expand Up @@ -37,10 +37,20 @@
"TM",
"VWAGY",
"SIEGY",
"PBR"
"PBR",
"IDCBY",
"DBSDY",
"IBN",
"KB",
"CMWAY",
"WBC.AX",
"1120.SR",
"QNBK.QA",
"SGBLY",
"FANDY"
],
"start": "2021-06-01",
"end": "2024-06-01",
"n_obs": 755,
"n_obs": 556,
"source": "Yahoo Finance daily adjusted close, log-return correlation (2021-06-01..2024-06-01)"
}
10 changes: 10 additions & 0 deletions data/external/banks/gsib_roster.csv
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Expand Up @@ -37,3 +37,13 @@ TM,Toyota Motor,TM,JP,JP,corporate,automotive,A+,560,"FY2023 annual report total
VWAGY,Volkswagen,VWAGY,DE,EU,corporate,automotive,BBB+,640,"FY2023 annual report total assets; S&P LT issuer rating"
SIEGY,Siemens,SIEGY,DE,EU,corporate,industrial,A+,160,"FY2023 annual report total assets; S&P LT issuer rating"
PBR,Petrobras,PBR,BR,LATAM,corporate,energy,BB,220,"FY2023 annual report total assets; S&P LT issuer rating"
ICBC,Industrial & Commercial Bank of China,IDCBY,CN,APAC,bank,universal,A,6300,"FY2023 annual report total assets (approx); S&P LT issuer rating"
DBS,DBS Group,DBSDY,SG,APAC,bank,universal,AA-,740,"FY2023 annual report total assets (approx); S&P LT issuer rating"
ICICI,ICICI Bank,IBN,IN,APAC,bank,universal,BBB-,260,"FY2023 annual report total assets (approx); S&P LT issuer rating"
KB,KB Financial Group,KB,KR,APAC,bank,universal,A+,600,"FY2023 annual report total assets (approx); S&P LT issuer rating"
CBA,Commonwealth Bank of Australia,CMWAY,AU,OCEANIA,bank,universal,AA-,840,"FY2023 annual report total assets (approx); S&P LT issuer rating"
WBC,Westpac Banking Corp,WBC.AX,AU,OCEANIA,bank,universal,AA-,760,"FY2023 annual report total assets (approx); S&P LT issuer rating"
RJHI,Al Rajhi Bank,1120.SR,SA,MEA,bank,universal,A-,210,"FY2023 annual report total assets (approx); S&P LT issuer rating"
QNB,Qatar National Bank,QNBK.QA,QA,MEA,bank,universal,A+,330,"FY2023 annual report total assets (approx); S&P LT issuer rating"
SBK,Standard Bank Group,SGBLY,ZA,AFRICA,bank,universal,BB-,170,"FY2023 annual report total assets (approx); S&P LT issuer rating"
FSR,FirstRand,FANDY,ZA,AFRICA,bank,universal,BB-,110,"FY2023 annual report total assets (approx); S&P LT issuer rating"
70 changes: 40 additions & 30 deletions data/scenario_dataset/manifest.json
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Original file line number Diff line number Diff line change
Expand Up @@ -4,7 +4,7 @@
"sources": {
"real_gsib": {
"kind": "real",
"n_institutions": 38,
"n_institutions": 48,
"node_names": [
"JPMorgan Chase",
"Bank of America",
Expand Down Expand Up @@ -43,56 +43,66 @@
"Toyota Motor",
"Volkswagen",
"Siemens",
"Petrobras"
"Petrobras",
"Industrial & Commercial Bank of China",
"DBS Group",
"ICICI Bank",
"KB Financial Group",
"Commonwealth Bank of Australia",
"Westpac Banking Corp",
"Al Rajhi Bank",
"Qatar National Bank",
"Standard Bank Group",
"FirstRand"
],
"marginals_mean": 0.0023318421052631578,
"marginals_mean": 0.002593958333333333,
"generators": {
"bernoulli": {
"shape": [
4000,
38
48
],
"fit_sample_seconds": 0.0,
"marginal_rmse": 0.0006052424481582826,
"mean_default_rate": 0.0023947368421052633,
"n_unique_scenarios": 54,
"corr_rmse": 0.46893489166667135,
"marginal_rmse": 0.0006363977398870406,
"mean_default_rate": 0.00265625,
"n_unique_scenarios": 78,
"corr_rmse": 0.4235104174036193,
"degenerate": false
},
"gaussian_copula": {
"shape": [
4000,
38
48
],
"fit_sample_seconds": 0.04,
"marginal_rmse": 0.0008746442885990552,
"mean_default_rate": 0.0022500000000000003,
"n_unique_scenarios": 72,
"corr_rmse": 0.44637849208606306,
"fit_sample_seconds": 0.06,
"marginal_rmse": 0.0005847916295570586,
"mean_default_rate": 0.0025520833333333333,
"n_unique_scenarios": 86,
"corr_rmse": 0.39436380440029173,
"degenerate": false
},
"student_t_copula": {
"shape": [
4000,
38
48
],
"fit_sample_seconds": 24.7,
"marginal_rmse": 0.0009536301832030011,
"mean_default_rate": 0.002348684210526316,
"n_unique_scenarios": 72,
"corr_rmse": 0.3678959557141127,
"fit_sample_seconds": 42.38,
"marginal_rmse": 0.0008745844251223928,
"mean_default_rate": 0.002427083333333333,
"n_unique_scenarios": 90,
"corr_rmse": 0.3630038546705475,
"degenerate": false
},
"entangled_born_machine": {
"shape": [
4000,
38
48
],
"fit_sample_seconds": 0.41,
"marginal_rmse": 0.0006326136261573885,
"mean_default_rate": 0.002111842105263158,
"n_unique_scenarios": 53,
"corr_rmse": 0.43856411668045475,
"fit_sample_seconds": 0.51,
"marginal_rmse": 0.0006764660006238303,
"mean_default_rate": 0.002395833333333333,
"n_unique_scenarios": 73,
"corr_rmse": 0.4108922189677439,
"degenerate": false
}
}
Expand Down Expand Up @@ -149,7 +159,7 @@
4000,
16
],
"fit_sample_seconds": 3.96,
"fit_sample_seconds": 4.01,
"marginal_rmse": 0.002111160411327338,
"mean_default_rate": 0.024484375,
"n_unique_scenarios": 195,
Expand All @@ -161,7 +171,7 @@
4000,
16
],
"fit_sample_seconds": 0.51,
"fit_sample_seconds": 0.53,
"marginal_rmse": 0.02178975788255229,
"mean_default_rate": 0.033828125,
"n_unique_scenarios": 271,
Expand Down Expand Up @@ -248,7 +258,7 @@
4000,
54
],
"fit_sample_seconds": 0.82,
"fit_sample_seconds": 0.83,
"marginal_rmse": 0.0018608291660400175,
"mean_default_rate": 0.012407407407407407,
"n_unique_scenarios": 367,
Expand All @@ -260,7 +270,7 @@
4000,
54
],
"fit_sample_seconds": 56.59,
"fit_sample_seconds": 58.8,
"marginal_rmse": 0.001813708090359923,
"mean_default_rate": 0.01261111111111111,
"n_unique_scenarios": 400,
Expand Down
32 changes: 16 additions & 16 deletions data/scenario_dataset/real_gsib/moments.json
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Original file line number Diff line number Diff line change
@@ -1,30 +1,30 @@
{
"bernoulli": {
"marginal_rmse": 0.0006052424481582826,
"mean_default_rate": 0.0023947368421052633,
"n_unique_scenarios": 54,
"corr_rmse": 0.46893489166667135,
"marginal_rmse": 0.0006363977398870406,
"mean_default_rate": 0.00265625,
"n_unique_scenarios": 78,
"corr_rmse": 0.4235104174036193,
"degenerate": false
},
"gaussian_copula": {
"marginal_rmse": 0.0008746442885990552,
"mean_default_rate": 0.0022500000000000003,
"n_unique_scenarios": 72,
"corr_rmse": 0.44637849208606306,
"marginal_rmse": 0.0005847916295570586,
"mean_default_rate": 0.0025520833333333333,
"n_unique_scenarios": 86,
"corr_rmse": 0.39436380440029173,
"degenerate": false
},
"student_t_copula": {
"marginal_rmse": 0.0009536301832030011,
"mean_default_rate": 0.002348684210526316,
"n_unique_scenarios": 72,
"corr_rmse": 0.3678959557141127,
"marginal_rmse": 0.0008745844251223928,
"mean_default_rate": 0.002427083333333333,
"n_unique_scenarios": 90,
"corr_rmse": 0.3630038546705475,
"degenerate": false
},
"entangled_born_machine": {
"marginal_rmse": 0.0006326136261573885,
"mean_default_rate": 0.002111842105263158,
"n_unique_scenarios": 53,
"corr_rmse": 0.43856411668045475,
"marginal_rmse": 0.0006764660006238303,
"mean_default_rate": 0.002395833333333333,
"n_unique_scenarios": 73,
"corr_rmse": 0.4108922189677439,
"degenerate": false
}
}
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