Systemic risk in network models with incomplete information
Presenter
March 27, 2015
Abstract
Luitgard Veraart
London School of Economics and Political Science
We study the interbank market as a network in which the nodes represent banks and the directed edges represent interbank liabilities. In practice, the network of interbank liabilities is not fully observable. We present a Bayesian methodology to deal with this lack of information when performing stress tests on such interbank networks.
This is joint work with Axel Gandy (Imperial College London).