Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/161238
Title: Agent-based models for assessing the risk of default propagation in interconnected sectorial financial networks
Author: Van Amerongen, Philippe
Mir Mora, Ramon
Sánchez de la Blanca Contreras, Sergi
Director/Tutor: Nin, Jordi
Keywords: Risc de crèdit
Avaluació del risc
Tesis de màster
Anàlisi de xarxes (Planificació)
Teoria de grafs
Credit risk
Risk assessment
Masters theses
Network analysis (Planning)Subj3
Graph theory
Issue Date: 1-Jul-2019
Abstract: [en] Financial Institutions perform risk assessments continuously in order to judge if certain companies are viable and should receive funding or loans to prevent companies to go bankrupt (default). This task helps keeping the financial system healthy. However, risk assessment is a tremendously difficult task since there are many variables to take into account. This work is a continuation of Barja et al., 2019, in which a model is posed to simulate customer-supplier relationships. The model helps to explore the risk of default of companies under certain circumstances. We extended the model in several ways to make it more realistic. The main objective of the work is to gain better insights in how defaulted companies affect non-defaulted ones. This is analyzed by k eeping track of the possible default cascades produced when a company goes bankrupt and stops paying. In addition, studying how financial networks behave, it is also possible shed some light about how the risk of specific companies or economical sectors can be tracked.
Note: Treballs finals del Màster de Fonaments de Ciència de Dades, Facultat de matemàtiques, Universitat de Barcelona, Any: 2019, Tutor: Jordi Nin
URI: http://hdl.handle.net/2445/161238
Appears in Collections:Programari - Treballs de l'alumnat
Màster Oficial - Fonaments de la Ciència de Dades

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