联系我们： 手动添加方式: 微信>添加朋友>企业微信联系人>13262280223 或者 QQ: 1483266981

Assignment COMP0046 – Networks and systemic risk
Data
Please download the data in the folder “Coursework data”. The data set
contains information about balance sheets of 145 banks. A matrix of
interbank exposures is provided in file “interbankExposures.csv”. Entry
(i,j) of such matrix represents the exposure of i towards j. File
“bankAssetWeightedNetwork.csv” contains a matrix that specifies the
investment of each bank in 20 external assets, entry (i,j) represents the
amount invested by bank i in asset j. A vector of bank equities is also
provided in file “bankEquities.csv“.
Tasks
1. You should present a statistical characterization of the system for
what concern the distributional properties of balance sheets and
interbank exposures, and you should describe the topological
properties (e.g. degree distribution, clustering, assortativity) of the
interbank exposure network.
2. You will then perform stress tests using the DebtRank algorithm
assuming shocks propagate only because of counterparty default
risk.
3. You will then perform additional stress tests where shocks
propagate because of overlapping portfolios, and you will compare
these results with those of point 2. To model contagion due to
overlapping portfolios, the suggestion is to run DebtRank replacing
the matrix of interbank exposures with the following matrix
associated with exposures induced by portfolio overlaps
Ω”# = ∑ ‘
()*(+*
∑ (,* ,
– . ,
where S”. is the amount invested by bank i in asset j, and is a market
impact parameter.
You are free to explore specific scenarios of your choice for what
concern the initial exogenous shock, and to make assumptions for what
concern the recovery rate and the liquidity of external assets (the
parameter ), as long as all assumptions and scenarios are clearly stated
and justified in your written report. You should in any case analyze the
behavior of the model as a function of recovery rate and liquidity
parameter.
Written report
A brief written report (indicatively around 2500 words plus figures and
tables) containing the justification of the approach, the presentation of the
results, the discussion of the results and conclusions should be submitted
to moodle before the deadline.
Marking This assignment is worth 100% of the total exam mark. The
marking will be based on the following criteria:
1) Clarity of the report (is the report clear and well structured, are
figures informative, is the methodology explained well Are
modeling assumptions discussed Are language and style
appropriate for a scientific work )
2) Results (are results sound )
3) Critical discussion (are results correctly interpreted Is there a
discussion of limitations and further challenges )