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Document type:
Zeitschriftenaufsatz 
Author(s):
Chong, C. and Klüppelberg, C. 
Title:
Contagion in financial systems: A Bayesian network approach 
Abstract:
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and consequences of cyclic financial linkages. We further demonstrate how Bayesian network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of...    »
 
Keywords:
Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk 
Journal title:
SIAM Journal on Financial Mathematics 
Year:
2018 
Journal volume:
Year / month:
2018-01 
Quarter:
1. Quartal 
Month:
Jan 
Journal issue:
Pages contribution:
28-53 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Publisher:
Society for Industrial and Applied Mathematics 
Publisher address:
Philadelphia, PA, USA 
Status:
Postprint / reviewed 
Accepted:
14.07.2017 
Date of publication:
11.01.2018 
Semester:
WS 17-18 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text