A discrete model for the default risk of inter-banking networks

Publication Year:
2014
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Repository URL:
https://digitalcommons.wpi.edu/etd-theses/624
Author(s):
Andrei, Mihnea Stefan
Publisher(s):
Worcester Polytechnic Institute
Tags:
default; banking system; networks; contagion
artifact description
During the most recent financial crisis, a myriad of banks defaulted. This scenario encouraged the development of a mathematical model for how default spreads through a system of banks. As we will see, the problem brings together ideas from many fields in Mathematics: Combinatorics, Linear Algebra, Calculus, Statistics and Probabilities. Afterwards, we will turn our attention not only towards implementing the model in MATLAB, but also towards interpreting the results obtained.