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Title:

Contagion in financial systems: A Bayesian network approach

Document type:
Zeitschriftenaufsatz
Author(s):
Chong, C. and Klüppelberg, C.
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:
9
Year / month:
2018-01
Quarter:
1. Quartal
Month:
Jan
Journal issue:
1
Pages contribution:
28-53
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1137/17M1116659
WWW:
Journal on Financial Mathematics
Publisher:
Society for Industrial and Applied Mathematics
Publisher address:
Philadelphia, PA, USA
Status:
Postprint / reviewed
Submitted:
15.02.2017
Accepted:
14.07.2017
Date of publication:
11.01.2018
Semester:
WS 17-18
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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