- Joined
- 3/20/17
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Hi All!
I am doing a risk management project and I am kind of stuck. I have:
1) a historical time series of observable variable, like a stock
2) this variable experience certain shock in certain period, like a 5% drop of S&P 500 on certain day.
I want to use Bayesian Net and measure the immediate impact of the shock on the variable while separating regular market volatility. So we sort of know how this variable will respond to future shocks.
How I can construct a Bayesian Net to do this? Bayesian Net is a structure of conditional probabilities, I am stuck at how I can measure a quantity using it?
Thank you!
I am doing a risk management project and I am kind of stuck. I have:
1) a historical time series of observable variable, like a stock
2) this variable experience certain shock in certain period, like a 5% drop of S&P 500 on certain day.
I want to use Bayesian Net and measure the immediate impact of the shock on the variable while separating regular market volatility. So we sort of know how this variable will respond to future shocks.
How I can construct a Bayesian Net to do this? Bayesian Net is a structure of conditional probabilities, I am stuck at how I can measure a quantity using it?
Thank you!