Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis

Deborah Gefang, Gary Koop, Simon M. Potter

Research output: Working paperDiscussion paper

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This technical appendix to the discussion paper provides a detailed description of the Gibbs sampler for Bayesian estimation, the draw parameters for the measurement and latent risk equations, as well as priors and prior sensitivity analysis.
Original languageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Number of pages45
Publication statusPublished - Oct 2010


  • Bayesian analysis
  • liquidity risk
  • credit risk
  • financial crisis
  • Bayesian estimation
  • Gibbs sampler

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