We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover measure. More complex spillover scenarios can be defined as combinations of simple scenarios. The scenario probabilities are evaluated using a non-parametric bootstrap. We use our technique to study credit risk transmission among a group of 18 countries over the 2006–2010 period. We show that abrupt changes in the probabilities of “crisis scenarios” accurately map on to key events during the Global Financial Crisis.

我们将事件概率预测文献中的技术应用于经济和金融网络中溢出情景的分析。一个简单的溢出情景表示为关于单个溢出度量的不等式约束。更复杂的溢出情景可以定义为简单情景的组合。使用非参数引导程序评估场景概率。我们使用我们的技术研究了 2006-2010 年期间 18 个国家之间的信用风险传递。我们表明，“危机情景”概率的突然变化准确地映射到全球金融危机期间的关键事件。