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SUMMARY:Contagion in Financial Systems: A Bayesian Network Approach - Cars
 ten Chong (Technische Universität München)
DTSTART:20160826T111000Z
DTEND:20160826T113000Z
UID:TALK67071@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:We conduct a probabilistic analysis for a structural default m
 odel of interconnected financial institutions. For all possible network st
 ructures we characterize the joint default distribution of the system usin
 g Bayesian network methodologies. Particular emphasis is given to the trea
 tment and consequences of cyclic financial linkages. We further demonstrat
 e how Bayesian network theory can be applied to detect contagion channels 
 within the financial network\, to measure the systemic importance of selec
 ted entities on others\, and to compute conditional or unconditional proba
 bilities of default for single or multiple institutions.
LOCATION:Seminar Room 1\, Newton Institute
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