A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

Published: May 3, 2016
Abstract
We develop a Bayesian methodology for systemic risk assessment in financial networks such as the interbank market. Nodes represent participants in the network and weighted directed edges represent liabilities. Often, for every participant, only the total liabilities and total assets within this network are observable. However, systemic risk assessment needs the individual liabilities. We propose a model for the individual liabilities, which,...
Paper Details
Title
A Bayesian Methodology for Systemic Risk Assessment in Financial Networks
Published Date
May 3, 2016
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