A Bayesian Methodology for Systemic Risk Assessment in Financial Networks（3）
4. 抽樣 如何使用MCMC算法（更準確地說，吉布斯採樣器）從負債矩陣的條件分佈中採樣，給定其行和列和 ( l , a ) (l,a) (l,a)和已知元素。然後，這些樣本可以插入到感興趣的函數中，以便進行系統風險評估，例如，計算出違約銀行數量的分佈情況或一家特定的銀行違約的概率。 在擴展層次模型的方法之前，考慮基本模型。 除了採樣器的理論推導外，還在在線支持文件第一節中提供了模擬研究，表明採樣器
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相關文章
- 1. The Differences between Risk Management, Risk Assessment, and Risk Analysis
- 2. Risk Management and Financial Institution Chapter 5 —— Trading in Financial Markets
- 3. Financial engineering and risk management
- 4. Risk Management and Financial Institution Chapter 14 —— Model-Building Approach
- 5. A Methodology For Getting Started With Cloud Computing
- 6. Risk Management and Financial Institution Chapter 15 —— Basel I、II and Solvency II
- 7. A COMPLETE GUIDE TO CREDIT RISK MODELLING
- 8. 風險評估（Risk Assessment）
- 9. Risk Management and Financial Institution Chapter 8 —— How Traders Manage Their Risk
- 10. Risk Management and Financial Institution Chapter 12 —— VaR and Es