Quantifying systemic risk using Bayesian networks

Quantifying systemic risk using Bayesian networks

Sumit Sourabh, Markus Hofer and Drona Kandhai develop a novel framework using Bayesian networks to capture distress dependence in the context of counterparty credit risk. Then, they apply this methodology to a wrong-way risk model and stress-scenario testing. Their...
Vacancy: Tenure Track

Vacancy: Tenure Track

We are seeking a highly qualified assistant professor who is interested in interdisciplinary research, with exceptional computational and modelling skills and proven expertise in data driven system dynamics. The focus will be on new ways to integrate data from –...