Conditional graphical models for systemic risk estimation

Abstract

Financial network models are a useful tool to model interconnectedness and systemic risks in banking and finance. Recently, graphical Gaussian models have been shown to improve the estimation of network models and, consequently, the interpretation of systemic risks. This paper provides a novel graphical Gaussian model to estimate systemic risks. The model… (More)
DOI: 10.1016/j.eswa.2015.08.047

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