Clearing financial network and its stability

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Mathematics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Song, Rui

Contributors dc:contributor

• Sowers, Richard B.
• Song, Renming
• DeVille, Robert E.
• Fen, Runhuan

• Financial Network
• Clearing
• Eisenberg-Noe
• Novation
• Large Deviation

Statement dc:rights

• Copyright 2014 Rui Song

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/50694

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/50694