Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks

Matthew Greenwood-Nimmo and Artur Tarassow ()

Journal of Financial Markets, 2022, vol. 59, issue PA

Abstract: We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover measure. More complex spillover scenarios can be defined as combinations of simple scenarios. The scenario probabilities are evaluated using a non-parametric bootstrap. We use our technique to study credit risk transmission among a group of 18 countries over the 2006–2010 period. We show that abrupt changes in the probabilities of “crisis scenarios” accurately map on to key events during the Global Financial Crisis.

Keywords: Empirical network model; Non-parametric bootstrap; Credit risk transmission; Probabilistic scenario analysis; Probabilistic classification (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418121000422
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000422

DOI: 10.1016/j.finmar.2021.100661

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().