Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050114-152504

Document Typethesis
Author NameAndrei, Mihnea Stefan
Email Address mihnea.andrei at wpi.edu
TitleA discrete model for the default risk of inter-banking networks
DepartmentMathematical Sciences
  • Stephan Sturm, Advisor
  • Keywords
  • default
  • banking system
  • networks
  • contagion
  • Date of Presentation/Defense2014-05-01
    Availability unrestricted


    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.

  • Discrete_Model_of_Bank_Network.pdf

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