Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/16589 |
Resumo: | This dissertation studies the spread of crisis over the financial system. More specifically, we aim to develop models that allow us to simulate how an economic shock strikes a few financial agents and from them propagate over the system, becoming a systemic problem. The dissertation is composed by the introduction and by two chapters. In the first chapter, we model the spread of crisis over investment funds using network science. Combining two models of propagation in financial networks, one simulating the propagation of losses in bipartite networks of assets and financial agents and the other simulating the propagation of losses in a network of cross-holdings of shares among financial agents, we develop an algorithm to simulate the spread of losses utilizing both mechanisms and we use this algorithm to simulate a crisis in the Brazilian market of investment funds. In Chapter 2 we develop an agent-based simulation model, using financial agents to simulate the propagation of a shock affecting the repo market. We also create an artificial market consisting of banks, hedge funds and money market funds, and simulate the spread of a liquidity shock striking a risky securitized asset used as collateral in repurchase agreements. |
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Pinheiro, Leonardo dos SantosEscolas::EMApArmstrong, MargaretZubelli, Jorge P.Coelho, Flávio Codeço2016-06-13T17:06:34Z2016-06-13T17:06:34Z2016-05-06PINHEIRO, Leonardo dos Santos. Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016.http://hdl.handle.net/10438/16589This dissertation studies the spread of crisis over the financial system. More specifically, we aim to develop models that allow us to simulate how an economic shock strikes a few financial agents and from them propagate over the system, becoming a systemic problem. The dissertation is composed by the introduction and by two chapters. In the first chapter, we model the spread of crisis over investment funds using network science. Combining two models of propagation in financial networks, one simulating the propagation of losses in bipartite networks of assets and financial agents and the other simulating the propagation of losses in a network of cross-holdings of shares among financial agents, we develop an algorithm to simulate the spread of losses utilizing both mechanisms and we use this algorithm to simulate a crisis in the Brazilian market of investment funds. In Chapter 2 we develop an agent-based simulation model, using financial agents to simulate the propagation of a shock affecting the repo market. We also create an artificial market consisting of banks, hedge funds and money market funds, and simulate the spread of a liquidity shock striking a risky securitized asset used as collateral in repurchase agreements.Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.engFinanças - Modelos matemáticoscrise financeiraRisco financeiroMatemáticaFinanças - Modelos matemáticosCrise financeiraRisco financeiroFundos de investimentoContagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systemsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALFinancial Contagion - Dissertação - 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|
dc.title.eng.fl_str_mv |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
title |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
spellingShingle |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems Pinheiro, Leonardo dos Santos Finanças - Modelos matemáticos crise financeira Risco financeiro Matemática Finanças - Modelos matemáticos Crise financeira Risco financeiro Fundos de investimento |
title_short |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
title_full |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
title_fullStr |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
title_full_unstemmed |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
title_sort |
Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems |
author |
Pinheiro, Leonardo dos Santos |
author_facet |
Pinheiro, Leonardo dos Santos |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EMAp |
dc.contributor.member.none.fl_str_mv |
Armstrong, Margaret Zubelli, Jorge P. |
dc.contributor.author.fl_str_mv |
Pinheiro, Leonardo dos Santos |
dc.contributor.advisor1.fl_str_mv |
Coelho, Flávio Codeço |
contributor_str_mv |
Coelho, Flávio Codeço |
dc.subject.por.fl_str_mv |
Finanças - Modelos matemáticos crise financeira Risco financeiro |
topic |
Finanças - Modelos matemáticos crise financeira Risco financeiro Matemática Finanças - Modelos matemáticos Crise financeira Risco financeiro Fundos de investimento |
dc.subject.area.por.fl_str_mv |
Matemática |
dc.subject.bibliodata.por.fl_str_mv |
Finanças - Modelos matemáticos Crise financeira Risco financeiro Fundos de investimento |
description |
This dissertation studies the spread of crisis over the financial system. More specifically, we aim to develop models that allow us to simulate how an economic shock strikes a few financial agents and from them propagate over the system, becoming a systemic problem. The dissertation is composed by the introduction and by two chapters. In the first chapter, we model the spread of crisis over investment funds using network science. Combining two models of propagation in financial networks, one simulating the propagation of losses in bipartite networks of assets and financial agents and the other simulating the propagation of losses in a network of cross-holdings of shares among financial agents, we develop an algorithm to simulate the spread of losses utilizing both mechanisms and we use this algorithm to simulate a crisis in the Brazilian market of investment funds. In Chapter 2 we develop an agent-based simulation model, using financial agents to simulate the propagation of a shock affecting the repo market. We also create an artificial market consisting of banks, hedge funds and money market funds, and simulate the spread of a liquidity shock striking a risky securitized asset used as collateral in repurchase agreements. |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-06-13T17:06:34Z |
dc.date.available.fl_str_mv |
2016-06-13T17:06:34Z |
dc.date.issued.fl_str_mv |
2016-05-06 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
PINHEIRO, Leonardo dos Santos. Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/16589 |
identifier_str_mv |
PINHEIRO, Leonardo dos Santos. Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016. |
url |
http://hdl.handle.net/10438/16589 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/a66c8547-3484-46cc-914a-5fe830604af8/download https://repositorio.fgv.br/bitstreams/7ad1ec94-6b6b-4260-8e1d-70cea9d138b0/download https://repositorio.fgv.br/bitstreams/26c726ec-f811-432b-b2b6-5bf3206b26d5/download https://repositorio.fgv.br/bitstreams/006b6dd3-c3dc-47fe-92ee-795acef57c40/download https://repositorio.fgv.br/bitstreams/608eeacc-aabd-4717-85aa-aff2b86a54f2/download |
bitstream.checksum.fl_str_mv |
0141b48f53d9580a67ffa444441edfcb 84e3b460f4044a6b508435c84499c378 dfb340242cced38a6cca06c627998fa1 e0e8681eab11563cbad8f21dd390f2a1 79f2c9b1f907a50840257772702d8c99 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023939102998528 |