英文标题：
《Contagion in financial systems: A Bayesian network approach》
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作者：
Carsten Chong and Claudia Kl\\\"uppelberg
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最新提交年份：
2017
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英文摘要：
  We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and consequences of cyclic financial linkages. We further demonstrate how Bayesian network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of selected entities on others, and to compute conditional or unconditional probabilities of default for single or multiple institutions.
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中文摘要：
我们在概率框架下为相互关联的金融机构建立了一个结构性违约模型。对于所有可能的网络结构，我们使用贝叶斯网络方法来描述系统的联合缺省分布。特别强调周期性金融联系的处理和后果。我们进一步展示了贝叶斯网络理论如何应用于检测金融网络内的传染渠道，衡量选定实体对其他实体的系统重要性，以及计算单个或多个机构的有条件或无条件违约概率。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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