Megas, Cristina M.
(2012)
Contagion In Financial Banking Systems.
Master's Thesis, University of Pittsburgh.
(Unpublished)
Abstract
This paper takes a financial network, applies a shock to the system and looks at the resulting institutions that fail. It considers the propagation of contagion through the financial network by employing various techniques. The first method calculates unique clearing payments for all the banks in the system. It also defines fundamental default and contagious failure of any financial institution and differentiates between these two important concepts.
The second method uses mean-field approximations to make all the banks in the system identical. It reduces an institution's external assets so that it defaults and looks at subsequent failures that spread through the financial network. This technique provides criteria for shocks and for initial and successive defaults. It considers cases with and without liquidity shocks.
This paper presents a connectivity measure using Kirchhoff's theorem. It computes the Kirchhoff number of all the banks in a financial network and finds the most and least vulnerable institutions. Finally, this paper tests the described connectivity measure by performing simulations on financial systems with a varying number of large banks and analyzing the results.
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Details
| Item Type: |
University of Pittsburgh ETD
|
| Status: |
Unpublished |
| Creators/Authors: |
|
| ETD Committee: |
|
| Date: |
26 January 2012 |
| Date Type: |
Publication |
| Defense Date: |
7 December 2011 |
| Approval Date: |
26 January 2012 |
| Submission Date: |
6 December 2011 |
| Access Restriction: |
No restriction; Release the ETD for access worldwide immediately. |
| Number of Pages: |
60 |
| Institution: |
University of Pittsburgh |
| Schools and Programs: |
Dietrich School of Arts and Sciences > Mathematics |
| Degree: |
MS - Master of Science |
| Thesis Type: |
Master's Thesis |
| Refereed: |
Yes |
| Uncontrolled Keywords: |
contagion, financial systems, financial networks, shocks |
| Date Deposited: |
26 Jan 2012 21:22 |
| Last Modified: |
15 Nov 2016 13:55 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/10690 |
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