Multivariate stress scenario selection in interbank networks = 금융 네트워크에서의 다변수 스트레스 시나리오 결정

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We provide an optimization approach to reverse stress testing, i.e., choosing the most likely scenarios among scenarios that cause a systemic risk measure exceeding a given threshold. In particular, we use the Eisenberg-Noe clearing framework to quantify the effect of contagion of a shock in interbank networks. It is well known that a clearing payment vector of a regular financial system is given by a unique solution of a fixed point problem. Utilizing this, we show that reverse stress testing can be formulated as a mixed integer programming. Our model can be applied to an extension of the Eisenberg-Noe framework, which reflects bankruptcy costs that occur when a bank defaults. Numerical results are presented based on the actual European Banking Authority data.
Advisors
Kim, Kyoung-Kukresearcher김경국researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2020
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2020.2,[iii, 32 p. :]

Keywords

Financial network▼aSystemic risk▼aReverse stress testing; 금융 네트워크▼a시스템 리스크▼a리버스 스트레스 테스트

URI
http://hdl.handle.net/10203/283922
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=910094&flag=dissertation
Appears in Collection
IE-Theses_Master(석사논문)
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