COMPG009 - Networks and Systemic Risk
This database contains the 2017-18 versions of syllabuses.
Note: Whilst every effort is made to keep the syllabus and assessment records correct, the precise details must be checked with the lecturer(s).
|Prerequisites||Familiarity with basic probability and calculus; the coursework requires basic programming skills|
|Taught By||Fabio Caccioli (100%)|
The first part of the course 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.
Overall, the course represents an introduction to the topic of systemic risk and stress propagation in networked systems.
The student will be able to:
Introduction to complex networks
- Basic concepts of networks (graphs, subgraphs, adjacency matrix, undirected, directed and weighted networks), common metrics (degree, betweenness, centrality, clustering, degree distribution, excess degree distribution, mixing patterns, real world examples).
- Network models (random networks, configuration model, small world, preferential attachment).
- 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.
Method of Instruction
30 hours of lectures plus homework and assignments
The course has the following assessment components:
- Coursework (50%, Individual project on financial networks and written essay)
- Written examination (2.5 hours, 50%)
To pass this course, students must:
- Obtain an overall pass mark of 50% for all sections combined.
Reading list available via the UCL Library catalogue.