Grigat, Daniel;
(2018)
On the Impact of Network Topology on Systemic Risk: Network Reconstruction, Stress Testing and Control.
Doctoral thesis (Ph.D), UCL (University College London).
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Abstract
In this thesis I undertake four projects that investigate the influence of network topology on financial contagion. In the first project I study the ability of three net- work models to reconstruct the topology and contagion dynamics of a real interbank network. This allows me to identify the main topological properties of networks that affect financial contagion. In the third and fourth projects I develop a framework to reverse stress test interbank networks. Based on this framework I propose a strategy to reduce systemic losses and I test the strategy in interbank networks with different topologies. I develop the methodological background to the reverse stress testing framework in the second project. In this project I study network control theory, to investigate the influence of network topology on the cost of managing the dynamics of networks.
| Type: | Thesis (Doctoral) |
|---|---|
| Qualification: | Ph.D |
| Title: | On the Impact of Network Topology on Systemic Risk: Network Reconstruction, Stress Testing and Control |
| Event: | UCL (University College London) |
| Open access status: | An open access version is available from UCL Discovery |
| Language: | English |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10041127 |
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