Adjustable Network Reconstruction with Applications to CDS Exposures


We develop an empirical Bayesian methodology to reconstruct weighted directed networks from the total in- and out-weight of each node. This problem arises in the analysis of systemic risk of partially observed financial... [ view full abstract ]


  1. Axel Gandy (Imperial College London)
  2. Luitgard Veraart (London School of Economics and Political Science)

Topic Areas

Simulation , Systemic Risk


FR-A-EM » Systemic Risk: Network Models (10:00 - Friday, 20th July, Emmet)

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