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

Deborah Gefang, Gary Koop, Simon M. Potter

Research output: Working paperDiscussion paper

Abstract

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.
LanguageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Pages1-44
Number of pages45
Volume11
Publication statusPublished - Oct 2010

Fingerprint

Financial crisis
Gibbs sampler
Sensitivity analysis
Bayesian estimation
Liquidity risk
Credit risk

Keywords

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

Cite this

Gefang, D., Koop, G., & Potter, S. M. (2010). Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis. (15 ed.) (pp. 1-44). Glasgow: University of Strathclyde.
Gefang, Deborah ; Koop, Gary ; Potter, Simon M. / Technical Appendix to : Understanding Liquidity and Credit Risks in the Financial Crisis. 15. ed. Glasgow : University of Strathclyde, 2010. pp. 1-44
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abstract = "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.",
keywords = "Bayesian analysis, liquidity risk, credit risk, financial crisis, Bayesian estimation, Gibbs sampler",
author = "Deborah Gefang and Gary Koop and Potter, {Simon M.}",
note = "This is a technical appendix to discussion paper Understanding Liquidity and Credit Risks in the financial crisis, published in volume 11, issue 14 of the Strathclyde Discussion Papers in Economics (2011).",
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Gefang, D, Koop, G & Potter, SM 2010 'Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis' 15 edn, University of Strathclyde, Glasgow, pp. 1-44.

Technical Appendix to : Understanding Liquidity and Credit Risks in the Financial Crisis. / Gefang, Deborah; Koop, Gary; Potter, Simon M.

15. ed. Glasgow : University of Strathclyde, 2010. p. 1-44.

Research output: Working paperDiscussion paper

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KW - credit risk

KW - financial crisis

KW - Bayesian estimation

KW - Gibbs sampler

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BT - Technical Appendix to

PB - University of Strathclyde

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Gefang D, Koop G, Potter SM. Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis. 15 ed. Glasgow: University of Strathclyde. 2010 Oct, p. 1-44.