Mjere sistemskog rizika na kompleksnim mrežama

master's thesis

• Title (english): Measures of systemic risk on complex networks
• Author: Luka Klinčić
• Mentor: Hrvoje Štefančić (mentor)
• Mentor: Davor Horvatić (komentor)
• Committee member: Davor Horvatić (predsjednik povjerenstva)
• Committee member: Hrvoje Štefančić (član povjerenstva)
• Committee member: Nikola Poljak (član povjerenstva)
• Committee member: Krešimir Kumerički (član povjerenstva)
• Committee member: Matko Milin (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Physics); Zagreb
• Defense date and country: 2021-02-26, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Physics

Abstract

Cilj ovog rada je modelirati financijske sustave kompleksnim mrežama te razmotriti nekoliko mjera sistemskog rizika koje kao ulaznu informaciju imaju jedino iznos međubankarskih investicija. Kao mehanizam širenja i amplifikacije inicijalnog financijskog šoka na mreži kori šten je DebtRank algoritam, a mreža banaka modelirana je Erdős-Rényi nasumičnim grafom. Razvijenim mjerama procjenjujemo rizik od triju kategorija inicijalnih financijskih šokova: uniformnog, lokaliziranog i općeg višeparametarskog šoka te je za svaku od njih ispitana ovisnost iznosa mjere o pojedinom parametru mreže, što je postignuto usrednjivanjem veličine na ansamblu mnoštva mreža.

Abstract (english)

The goal of this thesis is to model financial systems using complex networks framework and consider several measures of systemic risk that would use only interbank investments as input information. Dynamics of financial shock spreading and amplification was determined by the DebtRank algorithm which was applied to the Erdős-Rényi random graph model. The developed measures tackle three types of initial financial shocks: uniform, localised and general multiparameter shocks and each of them was further analysed in dependence on network parameters by averaging over an ensemble of many networks.

• Keywords: kompleksni sustavi; kompleksne mreže; sistemski rizik; Erdős-Rényi graf; DebtRank algoritam; makroekonomski šok
• Keywords (english): complex systems; complex networks; systemic risk; Erdős-Rényi graph; DebtRank algorithm; macroeconomic shock
• Language: croatian
• URN:NBN: urn:nbn:hr:217:252933
• Study programme: Title: Physics; specializations in: Research; Course: Research; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra fizike (magistar/magistra fizike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2021-04-28 10:18:48