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

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). University of Strathclyde.