Modelling and Analysis of Financial Network Dynamics

Braack, Alexandrina ORCID

The dissertation pertains to the research activities with focus on the analysis and modelling of financial network dynamics and complex relationships between financial institutions, central banks and other participants of the financial markets. We develop a simulation-based network model, reproducing a stylized financial system, which is affected by strong idiosyncratic or systematic external shocks. We use this model to analyze the interaction between banks, different sectors of the real economy, and the central bank. The distinctive character of the presented model is that banks are affected by the initial distress depending on their individual asset structure, due to the fact that banks, real economy segments and the central bank are connected by various credit and investment links building a multi-layer network structure. The simulation experiments and results presented in this thesis show how diverse characteristics of the network itself and its environment as well as the properties of the systemic event exert influences on the dynamics within the network and thus on systemic risk. The tangible results often depend on a broad spectrum of factors. The results of this work underline that an effective monitoring and regulating of banking systems have to be based on a deep understanding of financial products and current developments in the financial markets, transparency of bank books to the greatest possible extent and a continuous development of sophisticated models using this knowledge and data.

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Braack, Alexandrina: Modelling and Analysis of Financial Network Dynamics. 2017.

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