Bayesian selection of systemic risk networks

DOI10.1108/S0731-905320140000034007MaRDI QIDQ5133545zbMATH OpenOpenAlexFDO

Authors Daniel Felix Ahelegbey, Paolo Giudici

Publication date 10 November 2020

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-905320140000034007

zbMATH Keywords

Bayesian analysisfinancial econometricsfinancial risk managementgraphical Gaussian modelsmodel construction and estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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(9)

• Modeling systemic risk with Markov switching graphical SUR models
• Robust and sparse banking network estimation
• Modeling risk contagion in the Italian zonal electricity market
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• Assessing systematic risk in the S\&P500 index between 2000 and 2011: a Bayesian nonparametric approach
• scientific article; zbMATH DE number 1304923 (Why is no real title available?)
• Contagion in financial systems: a Bayesian network approach
• Large multiple graphical model inference via bootstrap
• A network analysis of the volatility of high-dimensional financial series

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