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On the Impact of Network Topology on Systemic Risk: Network Reconstruction, Stress Testing and Control

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)
Language: English
UCL classification: UCL
UCL > Provost and Vice Provost Offices
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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