Contagious defaults in a credit portfolio : a Bayesian network approach
Ioannis Anagnostou, Javier Sanchez Rivero, Sumit Sourabh and Drona Kandhai
| Year of publication: |
2020
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|---|---|
| Authors: | Anagnostou, Ioannis ; Sanchez Rivero, Javier ; Sourabh, Sumit ; Kandhai, Drona |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 16.2020, 1, p. 1-26
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| Subject: | portfolio credit risk | Bayesian learning | credit default swaps (CDSs) | default contagion | probabilistic graphical models | network theory | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Theorie | Theory | Bayes-Statistik | Bayesian inference | Ansteckungseffekt | Contagion effect | Insolvenz | Insolvency | Kreditversicherung | Credit insurance | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2020.257 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012298963