Model mreža s primjenom u bankarstvu

master's thesis

• Author: Lovro Kunić
• Mentor: Boris Podobnik (mentor)
• Committee member: Boris Podobnik (predsjednik povjerenstva)
• Committee member: Miljenko Huzak (član povjerenstva)
• Committee member: Sonja Štimac (član povjerenstva)
• Committee member: Vjeran Hari (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2018-09-24, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U ovom diplomskom radu analizirali smo utjecaj strukture međubankovnih izlaganja na stabilnost financijskog sustava. Primijenili smo teoriju mreža kako bi konstruirali bankovni sustav te smo analizirali otpornost financijskog sustava nakon idiosinkratskog šoka, tj. propasti pojedine banke u sustavu. Analizirali smo otpornost sustava s obzirom na veličinu banke, te glavne parametre koji opisuju sustav kao slučajni graf. To su kapitaliziranost pojedine banke u sustavu, veličina međubankovnog sustava, entropija te stupanj povezanosti. U prvom slučaju promatrali smo kako se ponaša sustav koji je konstruiran kao slučajni graf. U drugom dijelu rada pokazali smo kako se ponaša sustav konstruiran tako da se najveće banke ponašaju kao novčani centri cjelokupnog sustava. Uzeći u obzir veličine banaka unutar sustava i gledajući glavne parametre analizirali smo otpornost sustava na šokove za oba promatrana slučaja.

Abstract (english)

In this graduate thesis we analysed how the structure of interbank liabilities impacts the stability of financial system. We applied network theory to construct the banking system and we analysed the resilience of financial system after idiosyncratic shock, i.e. default of a single bank of the system. We analysed resilience of a financial system considering the size of a bank and main parameters that describe a system as a random graph. That are capitalization, the size of interbank market, entropy and the degree of connectivity. In the first part we observed the resilience of financial system that was constructed as a random graph. In the second part we showed how the system behaves when it is constructed as a multiple money centre system. Considering the size of banks inside the system and main parameters mentioned above, we analysed the resistance of financial system to shocks in this two cases.

• Keywords: strukture međubankovnih izlaganja; stabilnost financijskog sustava; teorija mreža; idiosinkratski šok; slučajni graf
• Keywords (english): structure of interbank liabilities; stability of financial system; network theory; idiosyncratic shock; random graph
• Language: croatian
• URN:NBN: urn:nbn:hr:217:630115
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2019-05-30 11:02:06