bnRep (version 0.0.3)

liquidity: liquidity Bayesian Network

Description

An artificial neural network and Bayesian network model for liquidity risk assessment in banking.

Value

An object of class bn.fit. Refer to the documentation of bnlearn for details.

Format

A discrete Bayesian network demonstrate applicability and exhibit the efficiency, accuracy and flexibility of data mining methods when modeling ambiguous occurrences related to bank liquidity risk measurement. Probabilities were given within the referenced paper. The vertices are:

X1

(FALSE, TRUE);

X2

(FALSE, TRUE);

X3

(FALSE, TRUE);

X4

(FALSE, TRUE);

X5

(FALSE, TRUE);

X6

(FALSE, TRUE);

X7

(FALSE, TRUE);

X8

(FALSE, TRUE);

X9

(FALSE, TRUE);

X10

(FALSE, TRUE);

References

Tavana, M., Abtahi, A. R., Di Caprio, D., & Poortarigh, M. (2018). An Artificial Neural Network and Bayesian Network model for liquidity risk assessment in banking. Neurocomputing, 275, 2525-2554.