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Modélisation mathématique de la contagion de défaut

Abstract : The subject of this thesis is the mathematical modeling of episodes of default contagion, by which an economic shock causing initial losses and defaults of a few institutions is amplified due to complex financial linkages, leading to large scale defaults. A first approach is represented by reduced form modeling by which defaults occur according to the arrival times of a marked point process. We propose a rigorous approach to the calibration of "top down" models for portfolio credit derivatives, using Markovian projection methods and intensity control. A second, more ambitious approach is that of structural models of default risk. Here, one models specifically the economical linkages leading to contagion, building on the representation of the financial system as a network of counterparties with interlinked balance sheets. The main types of financial distress that cause financial failure are illiquidity and insolvency. Using as underlying model for a financial network a random directed graph with prescribed degrees and weights, we derive asymptotic results for the magnitude of balance-sheet contagion in a large financial network. We give an analytical expression for the asymptotic fraction of defaults, in terms of network characteristics. These results, yielding a criterion for the resilience of a large financial network to the default of a small group of financial institutions may be applied in a stress testing framework by regulator who can efficiently contain contagion. Last, we study the magnitude and dynamics of illiquidity cascades in over-the-counter markets and assess the much-debated impact, in terms of systemic risk, of introducing a CDS clearinghouse.
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Contributor : Andreea Minca <>
Submitted on : Friday, September 16, 2011 - 10:57:24 PM
Last modification on : Wednesday, December 9, 2020 - 3:09:13 PM
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  • HAL Id : tel-00624419, version 1


Andreea Minca. Modélisation mathématique de la contagion de défaut. Mathématiques [math]. Université Pierre et Marie Curie - Paris VI, 2011. Français. ⟨tel-00624419⟩



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