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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Chong, C. and Klüppelberg, C. 
Titel:
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...    »
 
Stichworte:
Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk 
Zeitschriftentitel:
SIAM Journal on Financial Mathematics 
Jahr:
2018 
Band / Volume:
Jahr / Monat:
2018-01 
Quartal:
1. Quartal 
Monat:
Jan 
Heft / Issue:
Seitenangaben Beitrag:
28-53 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Society for Industrial and Applied Mathematics 
Verlagsort:
Philadelphia, PA, USA 
Status:
Postprint / reviewed 
Angenommen (von Zeitschrift):
14.07.2017 
Publikationsdatum:
11.01.2018 
Semester:
WS 17-18 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text