基于贝叶斯模型与机器学习算法的金融风险网络评估模型

doi:10.13229/j.cnki.jdxbgxb20190507

Abstract

Abstract:

A model to estimate the inter-bank liabilities was construct based on the Bayesian method, and then use machine learning algorithms to construct a Gibbs sampler to sample on the basis of conditional distribution. The sampling is used for stress testing and give the probability of all possible test results. Finally, as a model application, this paper will derive the bank's default probability and discuss its sensitivity to a priori information contained in the network model, helping financial regulators assess financial institutions' default risk，reduce systemic financial risks and maintainfinancial market stability.

Key words: computer application, financial risk assessment, Bayesian model, machine learning algorithm, Gibbs sampler

CLC Number:

TP391

Yang LI,Shuo LI,Li-wei JING. Estimate model based on Bayesian model and machine learning algorithms applicated in financial risk assessment[J].Journal of Jilin University(Engineering and Technology Edition), 2020, 50(5): 1862-1869.

Figures/Tables 3

References 14

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Estimate model based on Bayesian model and machine learning algorithms applicated in financial risk assessment

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