Contagion in Financial Systems: A Bayesian Network Approach

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• Carsten Chong (Technische Universität München)
• Friday 26 August 2016, 12:10-12:30
• Seminar Room 1, Newton Institute.

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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.

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