Contagion in Financial Systems: A Bayesian Network Approach
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Publication:4635241
DOI10.1137/17M1116659zbMath1408.91245arXiv1702.04287MaRDI QIDQ4635241
Claudia Klüppelberg, Carsten Chong
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.04287
Bayesian networksystemic riskfinancial contagionprobability of defaultmeasure of systemic riskmultivariate default riskstructural default risk model
Bayesian inference (62F15) Applications of graph theory (05C90) Stochastic network models in operations research (90B15) Actuarial science and mathematical finance (91G99)
Related Items (5)
Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Managing Default Contagion in Inhomogeneous Financial Networks ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL
Uses Software
Cites Work
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