Faculty Advisor

Stephan Sturm

Identifier

etd-050114-152504

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2014-05-01

Accessibility

Unrestricted

Subjects

default, banking system, networks, contagion

Share

COinS