Clearing vectors in financial networks

Abstract : Systemic risk threatening the financial system is a major concern for regulators. Adequate indicators of systemic risk would help them perform appropriate regulatory laws.The thesis proposes a dynamic model of banking system to calculate a systemic risk indicator of two components : The probability of a triggering event originated from external asset price decline, and the corresponding losses through the financial system. The thesis also proves the existence and uniqueness of two clearing equilibrium: the first deals with a model of différent debt seniorities, the second with a model of several illiquid asset following a proportional liquidation strategy.
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Khalil El Bitar. Clearing vectors in financial networks. Optimization and Control [math.OC]. Université de Franche-Comté, 2016. English. ⟨NNT : 2016BESA2079⟩. ⟨tel-01668514⟩

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