Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050114-152504


Document Typethesis
Author NameAndrei, Mihnea Stefan
URNetd-050114-152504
TitleA discrete model for the default risk of inter-banking networks
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Stephan Sturm, Advisor
  • Keywords
  • default
  • banking system
  • networks
  • contagion
  • Date of Presentation/Defense2014-05-01
    Availability unrestricted

    Abstract

    During the most recent financial crisis, a myriad of banks defaulted. This scenario encouraged the development of a mathematical model for how default spreads through a system of banks. As we will see, the problem brings together ideas from many fields in Mathematics: Combinatorics, Linear Algebra, Calculus, Statistics and Probabilities. Afterwards, we will turn our attention not only towards implementing the model in MATLAB, but also towards interpreting the results obtained.

    Files
  • Discrete_Model_of_Bank_Network.pdf

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