DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Kyoung-Kuk | - |
dc.contributor.advisor | 김경국 | - |
dc.contributor.author | Kwon, Eunji | - |
dc.date.accessioned | 2021-05-12T19:35:09Z | - |
dc.date.available | 2021-05-12T19:35:09Z | - |
dc.date.issued | 2020 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=910094&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/283922 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2020.2,[iii, 32 p. :] | - |
dc.description.abstract | 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. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Financial network▼aSystemic risk▼aReverse stress testing | - |
dc.subject | 금융 네트워크▼a시스템 리스크▼a리버스 스트레스 테스트 | - |
dc.title | Multivariate stress scenario selection in interbank networks | - |
dc.title.alternative | 금융 네트워크에서의 다변수 스트레스 시나리오 결정 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :산업및시스템공학과, | - |
dc.contributor.alternativeauthor | 권은지 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.