Dynamic Bayesian Networks for Enhanced Market Risk Assessment

This research explores the application of Dynamic Bayesian Networks (DBNs) for market risk assessment, specifically focusing on expected shortfall calculations. The paper's contribution likely lies in refining risk modeling techniques with DBNs, potentially offering improved accuracy and adaptability compared to traditional methods.

• •Applies Dynamic Bayesian Networks to market risk assessment.
• •Focuses on calculating standard and stressed expected shortfall.
• •Aims to improve accuracy and adaptability in risk modeling.