Adjustable network reconstruction with applications to CDS exposures
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Publication:2001099
DOI10.1016/j.jmva.2018.08.011zbMath1419.62296OpenAlexW3121251739MaRDI QIDQ2001099
Axel Gandy, Luitgard Anna Maria Veraart
Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/90082/1/Veraart_Adjustable-network-reconstruction_Accepted.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Applications of graph theory (05C90) Random graphs (graph-theoretic aspects) (05C80) Actuarial science and mathematical finance (91G99)
Related Items (7)
Compound Poisson models for weighted networks with applications in finance ⋮ Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries ⋮ Optimal network compression ⋮ Editorial for the special issue on dependence models ⋮ Interbank Clearing in Financial Networks with Multiple Maturities ⋮ Reconstructing and stress testing credit networks ⋮ FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL
Uses Software
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