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What is Bayesian Systemic Risk Assessment Method about?

The document presents a Bayesian methodology for assessing systemic risk in financial networks, particularly focusing on interbank liabilities. It proposes a model that estimates individual liabilities based on observable total assets and liabilities, utilizing a Gibbs sampler for stress testing. The methodology is flexible, accommodating various network structures and providing probabilities for outcomes, thus addressing gaps in existing approaches to systemic risk assessment.

Author

Seungjoon Jun

Language

EN