Abstract
Systemic Risk In Huge Heterogeneous Financial Network
by
Indrajit Saha
We consider a heterogeneous random financial network with one big bank and small banks to study the systemic risk. The banks are randomly connected with one another according to their
liability structure. The bank tries to clear their liability in the network which can be represented by random fixed point equations. We asymptotically analysed random fixed point and develop a methodology to arrive at simplified asymptotic representation of the large bank networks. This allows us to an easy resolution of many practical what if scenarios. We derive interesting phase transition : as long as the negative shocks within certain range the network remain stable but when shock crosses certain threshold the whole system is in trouble. We also studied how the connectivity helps the stability of the network.
Committee
Workshop
Key Dates
Communication
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