Hierarchical Graphical Models with Application to Systemic Risk
نویسندگان
چکیده
منابع مشابه
Conditional graphical models for systemic risk measurement
Financial network models are a useful tool to model interconnectedness and systemic risks in financial systems. They are essentially descriptive, and based on highly correlated networks. In this paper we embed them in a stochastic framework, aimed at a more parsimonious and more realistic representation. First we introduce Gaussian graphical models in the field of systemic risk modelling, thus ...
متن کاملConditional graphical models for systemic risk estimation
Financial network models are a useful tool to model interconnectedness and systemic risks in banking and finance. Recently, graphical Gaussian models have been shown to improve the estimation of network models and, consequently, the interpretation of systemic risks. This paper provides a novel graphical Gaussian model to estimate systemic risks. The model is characterised by two main innovation...
متن کاملMarginal conditional independence models with application to graphical modeling
Conditional independence models are defined by a set of conditional independence restrictions and play an important role in many statistical applications, especially, but not only, graphical modeling. In this paper we identify a subclass of these models which are hierarchical marginal log-linear, as defined by Bergsma and Rudas (2002a). Such models are smooth, which implies the applicability of...
متن کاملDecision Detection Using Hierarchical Graphical Models
We investigate hierarchical graphical models (HGMs) for automatically detecting decisions in multi-party discussions. Several types of dialogue act (DA) are distinguished on the basis of their roles in formulating decisions. HGMs enable us to model dependencies between observed features of discussions, decision DAs, and subdialogues that result in a decision. For the task of detecting decision ...
متن کاملAnalytical and graphical methods for understanding hierarchical models with an application to estimating state trends in death
One of the longest running questions that has been regularly included in Gallup’s national public opinion poll is “Do you favor or oppose the death penalty for persons convicted of murder?” Because the death penalty is governed by state laws rather than federal laws, it is of special interest to know how public opinion varies by state, and how it has changed over time within each state. In this...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2378802