Ioannis Anagnostou

University of Amsterdam

Spui 21

Amsterdam, 1018 WB

Netherlands

ING Bank - Netherlands Office

1102 MG Amsterdam

P.O. Box 1800

1000 BV Amsterdam

Netherlands

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Scholarly Papers (1)

1.

Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Number of pages: 22 Posted: 07 Sep 2019
University of Amsterdam, University of Amsterdam, University of Amsterdam and University of Amsterdam
Downloads 46 (413,851)

Abstract:

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Portfolio Credit Risk, Bayesian Learning, Credit Default Swaps, Default Contagion, Probabilistic Graphical Models, Network Theory