Title: Bayesian network analysis of systemic risk in financial markets
Authors: Mike So - The Hong Kong University of Science and Technology (Hong Kong)
Thomas Chan - Hong Kong University of Science and Technology (Hong Kong) [presenting]
Abstract: Analyzing systemic risk in financial markets has been an active research area in financial econometrics, risk management, and big data analytics. An approach based on network analysis is proposed to study the interrelationship between financial companies. We develop statistical models to understand how the financial network, and thus systemic risk, changes over time. We adopt Bayesian inference methods to estimate the financial network, do network prediction and use listed companies in Hong Kong to illustrate our idea.