COMP0046 Networks and Systemic Risk

This database contains the 2018-19 versions of syllabuses. These are still being finalised and changes may occur before the start of the session.

Syllabuses from the 2017-18 session are available here.

Academic session

2018-19

Module

Networks and Systemic Risk

Code

COMP0046

Module delivery

1819/A7P/T2/COMP0046 Postgraduate

Related deliveries

None

Prior deliveries

COMPG009

Level

Postgraduate

FHEQ Level

L7

FHEQ credits

15

Term/s

Term 2

Module leader

Caccioli, Fabio

Contributors

Caccioli, Fabio

Module administrator

Nolan, Martin

Aims

Overall, the module represents an introduction to the topic of systemic risk and stress propagation in networked systems. The first part of the module presents a general introduction to complex networks and dynamical processes; the second part is focused on specific applications to the study of contagion in financial networks.

Learning outcomes

On successful completion of the module, a student will be able to:

  1. compute network metrics and provide a statistical description of networks;
  2. analyse dynamical processes on networks;
  3. implement simple algorithms for the analysis of financial contagion.

Availability and prerequisites

This module delivery is available for selection on the below-listed programmes. The relevant programme structure will specify whether the module is core, optional, or elective.

In order to be eligible to select this module as optional or elective, where available, students must meet all prerequisite conditions to the satisfaction of the module leader. Places for students taking the module as optional or elective are limited and will be allocated according to the department’s module selection policy.

Programmes on which available:

  • MSc Computational Finance
  • MSc Financial Risk Management
  • MRes Financial Computing

Prerequisites:

In order to be eligible to select this module, students must have familiarity with basic probability and calculus.

The coursework requires basic programming skills.

Content

Introduction to complex networks

  • Basic concepts of networks (graphs, subgraphs, adjacency matrix, undirected, directed and weighted networks), common metrics (degree, centrality, clustering, degree distribution, excess degree distribution, mixing patterns, real world examples);
  • Network models (random networks, configuration model, small world, preferential attachment);
  • Maximum-entropy networks

Collective behavior

  • Emergence of a giant cluster. Robustness to random and targeted attacks;
  • Epidemic spreading processes on networks;
  • Cascade processes on networks;

Application to interbank networks and systemic risk

  • Interbank networks and their properties;
  • Furfine default algorithm and cascades of defaults;
  • Clearing vector of payments and the Eisenberg-Noe model;
  • Distress propagation in absence of default: DebtRank;
  • Overlapping portolios and price mediated contagion;
  • Leverage cycles.

An indicative reading list is available via http://readinglists.ucl.ac.uk/departments/comps_eng.html.

Delivery

30 hours of lectures plus homework and assignments.

Assessment

This module delivery is assessed as below:

#

Title

Weight (%)

Notes

1

Written examination (2hrs 30mins)

50

 

2

Report

25

 

3

In-class test

25

In order to pass this module delivery, students must achieve an overall weighted module mark of 50%.