Conditional graphical models for systemic risk estimation

作者：

Highlights：

• The paper provides a stochastic framework for financial network models.

• It is based on a conditional graphical Gaussian model.

• Systemic risk is decomposed into country risk plus bank specific risk.

• It is the first paper that considers more data sources in systemic risks estimation.

摘要

•The paper provides a stochastic framework for financial network models.•It is based on a conditional graphical Gaussian model.•Systemic risk is decomposed into country risk plus bank specific risk.•It is the first paper that considers more data sources in systemic risks estimation.

论文关键词：Conditional independence,Network models,Financial risk management,00-01,99-00

论文评审过程：Received 9 January 2015, Revised 26 August 2015, Accepted 27 August 2015, Available online 8 September 2015, Version of Record 20 October 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.08.047