Econophysics Of Systemic Risk And Network Dynamics
DOWNLOAD
Download Econophysics Of Systemic Risk And Network Dynamics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Econophysics Of Systemic Risk And Network Dynamics book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Econophysics Of Systemic Risk And Network Dynamics
DOWNLOAD
Author : Frédéric Abergel
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-08
Econophysics Of Systemic Risk And Network Dynamics written by Frédéric Abergel and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-08 with Science categories.
The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and analyzing systemic risk, network dynamics and other topics. Of primary interest in these studies is the aspect of systemic risk, which has long been identified as a potential scenario in which financial institutions trigger a dangerous contagion mechanism, spreading from the financial economy to the real economy. This type of risk, long confined to the monetary market, has spread considerably in the recent past, culminating in the subprime crisis of 2008. As such, understanding and controlling systemic risk has become an extremely important societal and economic challenge. The Econophys-Kolkata VI conference proceedings are dedicated to addressing a number of key issues involved. Several leading researchers in these fields report on their recent work and also review contemporary literature on the subject.
Systemic Risk
DOWNLOAD
Author : Prasanna Gai
language : en
Publisher: OUP Oxford
Release Date : 2013-03-28
Systemic Risk written by Prasanna Gai and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-28 with Business & Economics categories.
Systemic Risk opens new ground in the study of financial crises. It treats the financial system as a complex adaptive system and shows how lessons from network disciplines - such as ecology, epidemiology, and statistical mechanics - shed light on our understanding of financial stability. Using tools from network theory and economics, it suggests that financial systems are robust-yet-fragile, with knife-edge properties that are greatly exacerbated by the hoarding of funds and the fire sale of assets by banks. This book studies the damaging network consequences of the failure of large inter-connected institutions, explains how key funding markets can seize up across the entire financial system, and shows how the pursuit of secured finance by banks in the wake of the global financial crisis can generate systemic risks. The insights are then used to model banking systems calibrated to data to illustrate how financial sector regulators are beginning to quantify financial system stress.
Econophysics And Capital Asset Pricing
DOWNLOAD
Author : James Ming Chen
language : en
Publisher: Springer
Release Date : 2017-10-04
Econophysics And Capital Asset Pricing written by James Ming Chen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-04 with Business & Economics categories.
This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.
Systemic Risk And Reinsurance
DOWNLOAD
Author : Weidong Tian
language : en
Publisher: MDPI
Release Date : 2020-07-01
Systemic Risk And Reinsurance written by Weidong Tian and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-01 with Social Science categories.
This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.
Econophysics And Data Driven Modelling Of Market Dynamics
DOWNLOAD
Author : Frédéric Abergel
language : en
Publisher: Springer
Release Date : 2015-01-27
Econophysics And Data Driven Modelling Of Market Dynamics written by Frédéric Abergel and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-27 with Science categories.
This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.
Handbook On Systemic Risk
DOWNLOAD
Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23
Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Business & Economics categories.
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Econophysics Of Agent Based Models
DOWNLOAD
Author : Frédéric Abergel
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-09-07
Econophysics Of Agent Based Models written by Frédéric Abergel and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-07 with Science categories.
The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of "Econophysics" who have undertaken agent-based modelling, comparison with empirical studies and related investigations. Most standard economic models assume the existence of the representative agent, who is “perfectly rational” and applies the utility maximization principle when taking action. One reason for this is the desire to keep models mathematically tractable: no tools are available to economists for solving non-linear models of heterogeneous adaptive agents without explicit optimization. In contrast, multi-agent models, which originated from statistical physics considerations, allow us to go beyond the prototype theories of traditional economics involving the representative agent. This book is based on the Econophys-Kolkata VII Workshop, at which many such modelling efforts were presented. In the book, leading researchers in their fields report on their latest work, consider recent developments and review the contemporary literature.
Econophysics Of The Kolkata Restaurant Problem And Related Games
DOWNLOAD
Author : Bikas K. Chakrabarti
language : en
Publisher: Springer
Release Date : 2017-07-19
Econophysics Of The Kolkata Restaurant Problem And Related Games written by Bikas K. Chakrabarti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-19 with Business & Economics categories.
This book provides the first comprehensive introduction to multi-agent, multi-choice repetitive games, such as the Kolkata Restaurant Problem and the Minority Game. It explains how the tangible formulations of these games, using stochastic strategies developed by statistical physicists employing both classical and quantum physics, have led to very efficient solutions to the problems posed. Further, it includes sufficient introductory notes on information-processing strategies employing both classical statistical physics and quantum mechanics. Games of this nature, in which agents are presented with choices, from among which their goal is to make the minority choice, offer effective means of modeling herd behavior and market dynamics and are highly relevant to assessing systemic risk. Accordingly, this book will be of interest to economists, physicists, and computer scientists alike.
Econophysics
DOWNLOAD
Author : Gheorghe Savoiu
language : en
Publisher: Academic Press
Release Date : 2013
Econophysics written by Gheorghe Savoiu and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making
Systemic Risk From Global Financial Derivatives
DOWNLOAD
Author : Ms.Sheri M. Markose
language : en
Publisher: International Monetary Fund
Release Date : 2012-11-30
Systemic Risk From Global Financial Derivatives written by Ms.Sheri M. Markose and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-30 with Business & Economics categories.
Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.