Overview
- Extends exciting methods of network science to the problem of global financial stability
- A unique example of how mathematics can address a major social phenomenon
- Methods for analyzing and simulating complex cascading behaviour in real world networks
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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Table of contents (6 chapters)
Keywords
About this book
This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.
Reviews
“Contagion! Systemic Risk in Financial Networks … provides a unified mathematical framework for analysis of risk propagation in financial networks. … The book is geared primarily toward mathematicians, statisticians, and quantitative analysts with a background in financial mathematics. The book will also serve as an excellent textbook for a graduate course on financial networks or as a part of a more general course on network studies.” (Yulia R. Gel, Technometrics, Vol. 59 (1), February, 2017)
“This book is an attempt to crystallize the early results of research that focusses on the basic modelling structure of financial systemic risk in a financial network. … The book will be useful for those working and researching in the areas of systemic risk, financial networks and risk management.” (Anatoliy Swishchuk, zbMATH 1369.91005, 2017)
“From a theoretician’s point of view, I would say that the book is looking for sophisticated and advanced probabilistic models to explain things that have already happened, and hoping to find a way to prevent those things from happening again. Therefore I would recommend the book to theoreticians and also to graduate students in mathematics.” (George Stoica, Mathematical Reviews, October, 2016)
Authors and Affiliations
Bibliographic Information
Book Title: Contagion! Systemic Risk in Financial Networks
Authors: T. R. Hurd
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-319-33930-6
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2016
Softcover ISBN: 978-3-319-33929-0Published: 13 May 2016
eBook ISBN: 978-3-319-33930-6Published: 25 May 2016
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: IX, 139
Number of Illustrations: 3 b/w illustrations, 8 illustrations in colour
Topics: Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics, Statistics for Business, Management, Economics, Finance, Insurance