Carsten Chong

Technische Universität München (TUM) - Chair of Mathematical Statistics

Boltzmannstr. 3

Garching, 85748

Germany

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Scholarly Papers (1)

1.

Contagion in Financial Systems: A Bayesian Network Approach

SIAM Journal on Financial Mathematics, accepted for publication, 2017.
Number of pages: 26 Posted: 06 Jul 2016 Last Revised: 17 Jul 2017
Carsten Chong and C. Klüppelberg
Technische Universität München (TUM) - Chair of Mathematical Statistics and Technische Universität München (TUM)
Downloads 137 (248,447)
Citation 5

Abstract:

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Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk