Javier Sánchez Rivero

University of Amsterdam

Spui 21

Amsterdam, 1018 WB

Netherlands

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Scholarly Papers (1)

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Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Number of pages: 22 Posted: 07 Sep 2019
Ioannis Anagnostou, Javier Sánchez Rivero, Sumit Sourabh and Drona Kandhai
University of Amsterdam, University of Amsterdam, University of Amsterdam and University of Amsterdam
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Abstract:

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