Dynamical analysis and modelling of risk assessment in financial networks

Identifier:  TFG:9484

Handle: https://hdl.handle.net/20.500.11797/TFG9484

Authors:  Arenas Garcia, Pol

Abstract:
This work presents a discrete analysis of a simplified customer-supplier model, aiming to understand the dynamics of financial distress propagation in interconnected systems. Using a combination of analytical and probabilistic tools, we explore the behavior of the model under various assumptions, including a normal approximation approach to estimate default probabilities. Despite its simplifications, the model captures key mechanisms of systemic risk, such as contagion effects. The results highlight the influence of parameters on liquidity evolution and default cascades. This study offers an original perspective based on independent research during the final stage of the degree.