Contagious defaults in a credit portfolio : a Bayesian network approach
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 | Finanzdienstleistung | Financial services | Theorie | Theory | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference | Portfolio-Management | Portfolio selection | Kreditderivat | Credit derivative | Insolvenz | Insolvency | Ansteckungseffekt | Contagion effect |
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