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Essays on Financial Market Contagion and Systemic Risk - A Network Approach.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on Financial Market Contagion and Systemic Risk - A Network Approach./
作者:	Yang, Xingxing.
面頁冊數:	1 online resource (101 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-05, Section: A.
Contained By:	Dissertations Abstracts International85-05A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798380858717

Essays on Financial Market Contagion and Systemic Risk - A Network Approach.
Yang, Xingxing.

Essays on Financial Market Contagion and Systemic Risk - A Network Approach. - 1 online resource (101 pages)

Source: Dissertations Abstracts International, Volume: 85-05, Section: A.

Thesis (Ph.D.)--The New School, 2023.

Includes bibliographical references

This dissertation deals with the problem of systemic risks in the interbank market, which serves as a special case of the overall financial system. It is organized into three essay chapters.The first chapter reviews two major mechanisms that contribute to systemic risks in the financial system: contagion in the financial network and herding behavior. We showed that the application of network theory in financial contagion has been a hot topic during the aftermath of the Global Financial Crisis (GFC). The literature of herding in the financial market has been well-developed since the 1990s.In the second chapter, we apply the Watts model of global cascade to the herding of liquidity hoarding among bankers. We show that the spread of liquidity hoarding during a distress episode is swift and can affect a large part of the market as network density increases. Also, we demonstrate that the scale-free network is more robust against the cascading effect than the random network. Finally, we demonstrated that, in a highly connected, finite network, the probability of a global cascade could be much greater than that predicted by the original Watts model. This implies that macro-prudential policy is necessary to manage the risk of systemic events.In the third chapter, we built a model banking system under the framework of Nier et al. (2007) and study how the property of default cascades is affected by network structures and other systemic parameters. The result shows that networks with heterogeneous degree distribution, such as the scale-free network and the core-periphery network, tend to have better performance than the canonical random network. Moreover, the performance difference is larger when there are market-wide problems, such as correlated shocks or asset price declines due to fire sales.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798380858717Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Financial contagionIndex Terms--Genre/Form:

554714
Electronic books.

Essays on Financial Market Contagion and Systemic Risk - A Network Approach.
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520 $a This dissertation deals with the problem of systemic risks in the interbank market, which serves as a special case of the overall financial system. It is organized into three essay chapters.The first chapter reviews two major mechanisms that contribute to systemic risks in the financial system: contagion in the financial network and herding behavior. We showed that the application of network theory in financial contagion has been a hot topic during the aftermath of the Global Financial Crisis (GFC). The literature of herding in the financial market has been well-developed since the 1990s.In the second chapter, we apply the Watts model of global cascade to the herding of liquidity hoarding among bankers. We show that the spread of liquidity hoarding during a distress episode is swift and can affect a large part of the market as network density increases. Also, we demonstrate that the scale-free network is more robust against the cascading effect than the random network. Finally, we demonstrated that, in a highly connected, finite network, the probability of a global cascade could be much greater than that predicted by the original Watts model. This implies that macro-prudential policy is necessary to manage the risk of systemic events.In the third chapter, we built a model banking system under the framework of Nier et al. (2007) and study how the property of default cascades is affected by network structures and other systemic parameters. The result shows that networks with heterogeneous degree distribution, such as the scale-free network and the core-periphery network, tend to have better performance than the canonical random network. Moreover, the performance difference is larger when there are market-wide problems, such as correlated shocks or asset price declines due to fire sales.
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