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Thesis

Models of systemic risk in financial markets

Abstract:

This thesis studies systemic risk in financial markets and how it emerges through dynamical and structural amplification mechanisms.

In part (1) I study the dynamics and control of Basel leverage cycles. For this I develop a simple model of a financial system consisting of leveraged banks and an unleveraged fundamentalist investor (fund). Banks trade a risky asset with the fund and rely on historical information to estimate their portfolio risk. This risk estimate determines the ban...

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Division:
MPLS
Department:
Mathematical Institute
Role:
Author

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Supervisor
Engineering & Physical Sciences Research Council More from this funder
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
UUID:
uuid:3a1a0580-a9b8-4d6e-9a21-6ecfdd7f9e5c
Deposit date:
2016-02-22

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