代写COMP0046 – Networks and systemic risk代写C/C++语言

Assignment COMP0046 – Networks and systemic risk

Data

Please download the data in the folder “Coursework data” . The data set contains information about balance sheets of 145 banks. A matrix of interbank exposures is provided in file “interbankExposures.csv” . Entry (i,j) of such matrix represents the exposure of i towards j. File “bankAssetWeightedNetwork.csv” contains a matrix that specifies the investment of each bank in 20 external assets, entry (i,j) represents the amount invested by bank i in asset j. A vector of bank equities is also  provided in file “bankEquities.csv“ .

Tasks

1.  You should present a statistical characterization of the system for what concern the distributional properties of balance sheets and interbank exposures, and you should describe the topological properties (e.g. degree distribution, clustering, assortativity) of the interbank exposure network.

2.  You will then perform. stress tests using the DebtRank algorithm assuming shocks propagate only because of counterparty default risk.

3.  You will then perform additional stress tests where shocks

propagate because of overlapping portfolios, and you will compare these results with those of point 2. To model contagion due to overlapping portfolios, the suggestion is to run DebtRank replacing the matrix of interbank exposures with the following matrix associated with exposures induced by portfolio overlaps

where Sia  is the amount invested by bank i in asset j, and η is a market impact parameter.

You are free to explore specific scenarios of your choice for what concern the initial exogenous shock, and to make assumptions for what concern the recovery rate and the liquidity of external assets (the parameter ，), as long as all assumptions and scenarios are clearly stated and justified in your written report. You should in any case analyze the behavior. of the model as a function of recovery rate and liquidity parameter.

Written report

A brief written report (indicatively around 2500 words plus figures and tables) containing the justification of the approach, the presentation of the results, the discussion of the results and conclusions should be submitted to moodle before the deadline.

Marking This assignment is worth 100% of the total exam mark. The marking will be based on the following criteria:

1)  Clarity of the report (is the report clear and well structured, are figures informative, is the methodology explained well? Are modeling assumptions discussed? Are language and style. appropriate for a scientific work?)

2) Results (are results sound?)

3)  Critical discussion (are results correctly interpreted? Is there a discussion of limitations and further challenges?)