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master's thesis
Mjere sistemskog rizika na kompleksnim mrežama
Zagreb: University of Zagreb, Faculty of Science, 2021. urn:nbn:hr:217:252933
Klinčić, Luka
University of Zagreb
Faculty of Science
Department of Physics

Institutional repository: Repository of the Faculty of Science

Cite this document

Klinčić, L. (2021). Mjere sistemskog rizika na kompleksnim mrežama (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:252933

Klinčić, Luka. "Mjere sistemskog rizika na kompleksnim mrežama." Master's thesis, University of Zagreb, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:217:252933

Klinčić, Luka. "Mjere sistemskog rizika na kompleksnim mrežama." Master's thesis, University of Zagreb, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:217:252933

Klinčić, L. (2021). 'Mjere sistemskog rizika na kompleksnim mrežama', Master's thesis, University of Zagreb, Faculty of Science, accessed 22 July 2024, https://urn.nsk.hr/urn:nbn:hr:217:252933

Klinčić L. Mjere sistemskog rizika na kompleksnim mrežama [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2021 [cited 2024 July 22] Available at: https://urn.nsk.hr/urn:nbn:hr:217:252933

L. Klinčić, "Mjere sistemskog rizika na kompleksnim mrežama", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:217:252933

Metadata
TitleMjere sistemskog rizika na kompleksnim mrežama
Title (english)Measures of systemic risk on complex networks
AuthorLuka Klinčić
MentorHrvoje Štefančić (mentor)
MentorDavor Horvatić (komentor)
Committee memberDavor Horvatić (predsjednik povjerenstva)
Committee memberHrvoje Štefančić (član povjerenstva)
Committee memberNikola Poljak (član povjerenstva)
Committee memberKrešimir Kumerički (član povjerenstva)
Committee memberMatko Milin (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Physics)
Zagreb
Defense date and country2021-02-26, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Physics
Abstract
Cilj ovog rada je modelirati financijske sustave kompleksnim mrežama te razmotriti nekoliko mjera sistemskog rizika koje kao ulaznu informaciju imaju jedino iznos međubankarskih investicija. Kao mehanizam širenja i amplifikacije inicijalnog financijskog šoka na mreži kori šten je DebtRank algoritam, a mreža banaka modelirana je Erdős-Rényi nasumičnim grafom. Razvijenim mjerama procjenjujemo rizik od triju kategorija inicijalnih financijskih šokova: uniformnog, lokaliziranog i općeg višeparametarskog šoka te je za svaku od njih ispitana ovisnost iznosa mjere o pojedinom parametru mreže, što je postignuto usrednjivanjem veličine na ansamblu mnoštva mreža.
Abstract (english)
The goal of this thesis is to model financial systems using complex networks framework and consider several measures of systemic risk that would use only interbank investments as input information. Dynamics of financial shock spreading and amplification was determined by the DebtRank algorithm which was applied to the Erdős-Rényi random graph model. The developed measures tackle three types of initial financial shocks: uniform, localised and general multiparameter shocks and each of them was further analysed in dependence on network parameters by averaging over an ensemble of many networks.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:252933
Study programmeTitle: Physics; specializations in: Research
Course: Research
Study programme type: university
Study level: integrated undergraduate and graduate
Academic / professional title: magistar/magistra fizike (magistar/magistra fizike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2021-04-28 10:18:48