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 Treballs de fi de màster Anàlisi de xarxes (Planificació) Teoria de grafs Credit risk Risk assessment Master's theses Network analysis (Planning) 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 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
161238.pdf | Memòria | 2.96 MB | Adobe PDF | View/Open |
codi_font.zip | 29.95 MB | zip | View/Open |
This item is licensed under a
Creative Commons License