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application/pdf  Rui_Song.pdf (2MB) | (no description provided) |
Description
| Title: | Clearing financial network and its stability |
| Author(s): | Song, Rui |
| Director of Research: | Sowers, Richard B. |
| Doctoral Committee Chair(s): | Song, Renming |
| Doctoral Committee Member(s): | Sowers, Richard B.; DeVille, Robert E.; Fen, Runhuan |
| Department / Program: | Mathematics |
| Discipline: | Mathematics |
| Degree Granting Institution: | University of Illinois at Urbana-Champaign |
| Degree: | Ph.D. |
| Genre: | Dissertation |
| Subject(s): | Financial Network
Clearing Eisenberg-Noe Novation Large Deviation |
| Abstract: | In the first part of this thesis, we study the application of a clearing mechanism of a financial network to a specific type of financial network, which is established upon an abstract underlying asset. In particular, we focus on the stability of the network against the fluctuation of underlying market, which is measured by default threshold sequence. We also consider the behavior of this sequence with some perturbation to configuration of the network itself. We will prove the continuity of the sequence, based upon which we will take a look at the aspect of large deviation principle of the sequence with appropriate random settings. In the second part, we also consider an operation, called novation, which changes the topology of a financial network and hence its stability. However, the stability in this case is measured by the exposure to the central counterparty, which novates trades between members in the network. We will see how the stability is related to two important characteristics of a novation structure, tiering and concentration. |
| Issue Date: | 2014-09-16 |
| URI: | http://hdl.handle.net/2142/50694 |
| Rights Information: | Copyright 2014 Rui Song |
| Date Available in IDEALS: | 2014-09-16 |
| Date Deposited: | 2014-08 |
This item appears in the following Collection(s)
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Dissertations and Theses - Mathematics
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Graduate Dissertations and Theses at Illinois
Graduate Theses and Dissertations at Illinois