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Le risque généré par les produits dérivés en réseau

Abstract : This thesis studies the mechanisms at work when agents exchange derivatives in networks. The general conclusion of this work is the following: when one models simple mechanisms between agents who have different risk tolerances, one obtains behaviors which are similar to those observed in reality, and which are sometimes the source of major trouble. To reach this conclusion, this work uses mathematical modeling based on financial risk measures, made more complex over the chapters and extended using computer simulation. At first, the model shows that agents tend to establish chains of dependence when they have the freedom to trade derivatives. Their behavior leads to the emergence of a point of systemic failure. When modeling incorporates counterparty risk, chains of dependence can worsen general bankruptcy. A computer method is then developed to extend the analysis to the most general case possible; it enables to design optimal derivative products within a very broad framework. Applied to the problem of network derivatives, this method leads to the emergence of more realistic derivatives than previously, such as options. Systemic risk persists, however, raising the threat of general bankruptcy if one of the financial positions is misjudged. Finally, this thesis work proposes a reflection on the scientific value of computer simulations in social sciences. Adopting a point of view stemming from the philosophy of Karl Popper, this thesis proposes to consider simulations as logical counterexamples to firmly established theoretical presuppositions.
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Submitted on : Thursday, October 15, 2020 - 10:55:13 AM
Last modification on : Friday, October 16, 2020 - 3:37:25 AM


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  • HAL Id : tel-02967804, version 1



Nicolas Mauhé. Le risque généré par les produits dérivés en réseau. Gestion et management. Université de Bordeaux, 2020. Français. ⟨NNT : 2020BORD0058⟩. ⟨tel-02967804⟩



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