University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Contagion in Financial Systems: A Bayesian Network Approach

Contagion in Financial Systems: A Bayesian Network Approach

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact info@newton.ac.uk.

SNAW02 - Network science and its applications

We conduct a probabilistic analysis for a structural default model of interconnected financial institutions. 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 selected entities on others, and to compute conditional or unconditional probabilities of default for single or multiple institutions.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2019 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity