European systemic credit risk transmission using Bayesian networks
Laura Ballester, Jesúa López, Jose M. Pavía
| Year of publication: |
2023
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|---|---|
| Authors: | Ballester, Laura ; López, Jesúa ; Pavia, José Manuel |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 65.2023, p. 1-20
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| Subject: | CDS | Dynamic Bayesian networks | Markov Chain Monte Carlo | Systemic credit risk | Vector autoregressive moving average models | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Theorie | Theory | Kreditderivat | Credit derivative | Monte-Carlo-Simulation | Monte Carlo simulation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2023.101914 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014432478