Publications
 

Announcements - Current

For all members and CIAnet subscribers

Free IAA Banking Webinar: Systemic Risk Modelling and Early Warning Systems

February 7, 2018
10:00 a.m. to 11:30 (ET)

Keynote Speaker:
Conrad Beyers, Barclays Africa chair in actuarial science, University of Pretoria

Presenters:
Pieter de Villiers, professor, University of Pretoria
Joel Dabrowski, member, Commonwealth Scientific and Industrial Research Organisation (CSIRO)

The authors of the award-winning paper, Systemic Risk Modelling and Early Warning Systems, discuss their work during this free webinar.

For decades, the literature on banking crisis early-warning systems has been dominated by two methods, namely, the signal extraction and the logit model methods. However, these methods do not model the dynamics of the systemic banking system. In this study, dynamic Bayesian networks are applied as systemic banking crisis early-warning systems. In particular, the hidden Markov model, the switching linear dynamic system, and the naïve Bayes switching linear dynamic system models are considered. These dynamic Bayesian networks provide the means to model system dynamics using the Markovian framework. Given the dynamics, the probability of an impending crisis can be calculated. A unique approach to measuring the ability of a model to predict a crisis is utilized. The results indicate that the dynamic Bayesian network models can provide precise early warnings compared with the signal extraction and the logit methods.

For more information, go to the webinar web page.

To register, click on the link below.
Link(s)
Council/Committee
N/A
Contact with Questions  technical.activities@actuaries.org
Announcement Number
2018-01(04010)
January 25, 2018