Clearing financial network and its stability

Song, Rui

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https://hdl.handle.net/2142/50694 Copy

Description

Title

Clearing financial network and its stability

Author(s)

Song, Rui

Issue Date

2014-09-16

Director of Research (if dissertation) or Advisor (if thesis)

Sowers, Richard B.

Doctoral Committee Chair(s)

Song, Renming

Committee Member(s)

• Sowers, Richard B.
• DeVille, Robert E.
• Fen, Runhuan

Department of Study

Mathematics

Discipline

Mathematics

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

• Financial Network
• Clearing
• Eisenberg-Noe
• Novation
• Large Deviation

Abstract

In the first part of this thesis, we study the application of a clearing mechanism of a financial network to a specific type of financial network, which is established upon an abstract underlying asset. In particular, we focus on the stability of the network against the fluctuation of underlying market, which is measured by default threshold sequence. We also consider the behavior of this sequence with some perturbation to configuration of the network itself. We will prove the continuity of the sequence, based upon which we will take a look at the aspect of large deviation principle of the sequence with appropriate random settings. In the second part, we also consider an operation, called novation, which changes the topology of a financial network and hence its stability. However, the stability in this case is measured by the exposure to the central counterparty, which novates trades between members in the network. We will see how the stability is related to two important characteristics of a novation structure, tiering and concentration.

Graduation Semester

2014-08

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http://hdl.handle.net/2142/50694

Copyright and License Information

Copyright 2014 Rui Song

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