A Review and Analysis of Systemic Risk in Financial Systems

• Main Authors: Bi-Cheng Wu, 吳必成
• Other Authors: Li-Hsien Sun
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/733dra

碩士 === 國立中央大學 === 統計研究所 === 107 === Larry Eisenberg and Thomas H. Noe published a paper: Systemic Risk in Financial Systems in 2001. In my thesis, we take a review of their work and make some improvement. Following Larry Eisenberg and Thomas H. Noe’s step, we analyse the structure of their economic framework. First we introduce the basic framework of Larry Eisenberg and Thomas H. Noe’s model, then we prove the existence and uniqueness of the clearing vector about a financial system by a fixed-point theorem. Once the existence and uniqueness have been proved, we can specify this model by a matrix form example which can be proved to have a fixed-point too. Then we get a sequence of default, by which a financial system can be explained by an intuitive reasoning. We also use Banach fixed-point theorem rather than Tarski fixed-point theorem to give a new method to prove the existence and uniqueness of the clearing vector.