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oai:www.ideals.illinois.edu:2142/50694 2023-07-11 col_2142_5131 col_2142_16340 com_2142_5130 com_2142_16339 com_2142_8903

Sowers, Richard B. Song, Renming Sowers, Richard B. DeVille, Robert E. Fen, Runhuan Song, Rui 2014-09-16T17:25:21Z 2014-09-16T17:25:21Z 2014-08 2014-09-16 2014-08 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. Item withdrawn by Laura Spradlin (lspradl2@illinois.edu) on 2014-06-11T21:20:53Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 3 Song_Rui.pdf: 1933930 bytes, checksum: 6fe386c83c1d26c3c297f164f9513dfb (MD5) Song_Rui.tex: 188328 bytes, checksum: 30c7852adb9e3b60fa061124b3c187f1 (MD5) Song_Rui.pdf: 1934367 bytes, checksum: 3cf81c8000a5d536e6c8036ab8e8a32b (MD5) Made available in DSpace on 2014-09-16T17:25:21Z (GMT). No. of bitstreams: 3 Rui_Song.pdf: 1934367 bytes, checksum: 3cf81c8000a5d536e6c8036ab8e8a32b (MD5) Song_Rui.tex: 188328 bytes, checksum: 30c7852adb9e3b60fa061124b3c187f1 (MD5) license.txt: 4058 bytes, checksum: 8596038015a41958b3b2503b681cf94b (MD5) http://hdl.handle.net/2142/50694 en Copyright 2014 Rui Song Financial Network Clearing Eisenberg-Noe Novation Large Deviation Clearing financial network and its stability text Mathematics 1257 Mathematics 0439 University of Illinois at Urbana-Champaign Dissertation Ph.D. PHD:Mathematics -UIUC 10KS0439PHD