Bayesian Systemic Risk Analysis using Latent Space Network Models Article Swipe

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Mike K. P. So , Thomas W. C. Chan , Amanda M. Y. Chu ·

YOU? · · 2024 · Open Access · · DOI: https://doi.org/10.1080/26941899.2024.2381724

In financial markets, systemic risk is a type of risk in which the failure of one stock in the market triggers a sequence of failures. Our study proposes a Bayesian decision scheme to dynamically monitor systemic risk under any preferences and restrictions in financial risk management. We begin by capturing the moving correlations of stock returns because such correlations represent the strengths of the relationships among stocks. Then, we construct a dynamic financial network to link the stocks with strong relationships. Using the financial space, which is related to the position of stocks in the network plot, we locate two stocks in the financial space that are a short distance apart, because the relationship between these two stocks is strong. Using the distances between stocks in the financial space, together with the salient preferences and restrictions in financial risk management, we propose a systemic risk score. We then use 20 years of data to demonstrate the effectiveness of our proposed systemic risk score to give an early signal of global financial instabilities.

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Artificial Intelligence

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Systemic risk Stock (firearms) Financial risk management Risk management Financial market Econometrics Financial risk Stock market Financial networks Bayesian network Salient Business Actuarial science Finance Economics Financial economics Computer science Artificial intelligence Financial crisis Geography Context (archaeology) Macroeconomics Archaeology

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Type: article
Language: en
Landing Page: https://doi.org/10.1080/26941899.2024.2381724
PDF: https://www.tandfonline.com/doi/pdf/10.1080/26941899.2024.2381724?needAccess=true
OA Status: diamond
References: 86
Related Works: 10
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DOI: https://doi.org/10.1080/26941899.2024.2381724

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Title: Bayesian Systemic Risk Analysis using Latent Space Network Models

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Language: en

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Publication year: 2024

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Publication date: 2024-07-30

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Authors: Mike K. P. So, Thomas W. C. Chan, Amanda M. Y. Chu

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Landing page: https://doi.org/10.1080/26941899.2024.2381724

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Concepts: Systemic risk, Stock (firearms), Financial risk management, Risk management, Financial market, Econometrics, Financial risk, Stock market, Financial networks, Bayesian network, Salient, Business, Actuarial science, Finance, Economics, Financial economics, Computer science, Artificial intelligence, Financial crisis, Geography, Context (archaeology), Macroeconomics, Archaeology

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