Benth, Fred E.; Dahl, Geir; Mannino, Carlo - Dipartimento di Ingegneria Informatica, Automatica e … - 2010
The current financial crisis motivates the study of correlated defaults in financial systems. In this paper we focus on such a model which is based on Markov random fields. This is a probabilistic model where uncertainty in default probabilities incorporates expert's opinions on the default risk...