During the most recent financial crisis, a myriad of banks defaulted. This scenario encouraged the development of a mathematical model for how default spreads through a system of banks. As we will see, the problem brings together ideas from many fields in Mathematics: Combinatorics, Linear Algebra, Calculus, Statistics and Probabilities. Afterwards, we will turn our attention not only towards implementing the model in MATLAB, but also towards interpreting the results obtained.
Worcester Polytechnic Institute
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted. If you have any questions, please contact email@example.com.
Andrei, Mihnea Stefan, "A discrete model for the default risk of inter-banking networks" (2014). Masters Theses (All Theses, All Years). 624.
default, banking system, networks, contagion