Valuation Algorithms for Structural Models of Financial Networks: = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Würzburg
2015
|
| Subjects: | |
| Online Access: | Volltext http://d-nb.info/1126417548/34 Inhaltsverzeichnis |
| Physical Description: | viii, 161 Seiten |
| Format: | Langzeitarchivierung gewährleistet, LZA |
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Record in the Search Index
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|---|---|
| adam_text | V ALUATION A LGORITHM S FOR
STRUCTURAL M ODELS OF FINANCIAL
N ETW ORKS
DISSERTATIONSSCHRIFT
ZUR ERLANGUNG EINES NATURWISSENSCHAFTLICHEN DOKTORGRADES
DER BAYERISCHEN JULIUS-MAXIMILIANS-UNIVERSITAET WUERZBURG
VORGELEGT VON
JOHANNES HAIN
AUS HOESBACH
WUERZBURG 2015
CONTENTS
1 INTRODUCTION 1
2 NOTATION AND MODEL ASSUMPTIONS 5
2.1 N OTATIO N
...........................................................................................................................
5
2.2 MODEL ASSUMPTIONS
.....................................................................................................
6
3 LITERATURE REVIEW 11
3.1 EVOLUTION OF LITERATURE .
.
...............................................................................................
12
3.2 DIFFERENCES IN MODEL ASSUMPTIONS
.............................................................................
14
3.2.1 EXOGENOUS A
SSETS...............................................................................................
14
3.2.2 LIABILITY S TR U C TU RE
............................................................................................
17
3.2.3 OWNERSHIP M A TR IC E S
.........................................................................................
20
3.2.4 SENIORITY S TRU CTU RE
............................................................................................
21
3.3 SURVEY OF EXISTENCE AND UNIQUENESS R E SU LTS
.............................................................
24
3.3.1 A PROOF ON EXISTENCE
......................................................................................
24
3.3.2 REGULARITY CONDITIONS FOR UNIQUENESS
..........................................................
25
3.3.3 SKETCHES OF PROOFS FOR
UNIQUENESS....................................................................
26
3.4 EXTENSIONS OF THE M O D E
L...............................................................................................
28
4 VALUATION ALGORITHMS FOR SYSTEMS WITH ONE SENIORITY LEVEL 31
4.1 NON-FINITE A LG O RITH M
S..................................................................................................
31
4.1.1 THE PICARD A LG O RITH M
......................................................................................
32
4.1.2 THE ELSINGER A LG O RITH M
...................................................................................
36
4.1.3 A HYBRID A LG O RITH M
.........................................................................................
44
4.2 FINITE
ALGORITHMS...........................................................................................................
54
4.2.1 DECREASING TRIAL-AND-ERROR A LGORITHM S
..........................................................
56
4.2.2 INCREASING TRIAL-AND-ERROR A LG O RITH M S
..........................................................
60
4.2.3 SANDWICH ALGORITHMS
......................................................................................
64
5 VALUATION ALGORITHMS FOR SYSTEMS WITH A SENIORITY TRUCTURE 69
5.1 NON-FINITE A LG O RITH M
S..................................................................................................
69
5.1.1 THE PICARD A LG O RITH M
......................................................................................
69
5.1.2 THE ELSINGER A LG O RITH M
...................................................................................
72
5.1.3 A HYBRID A LG O RITH M
.........................................................................................
76
5.2 FINITE
ALGORITHMS...........................................................................................................
81
5.2.1 TRIAL-AND-ERROR A LG O RITH M S
...............
83
5.2.2 SANDWICH A LG O RITH M
.........................................................................................
86
5.3 DEFAULT STRUCTURE A
LGORITHM.........................................................................................
88
6 OPTIMIZING NON-FINITE ALGORITHMS 97
6.1 THE PICARD A LG O RITH M
..................................................................................................
97
6.1.1 PROPERTIES OF R GREAT AND R SMA I I
.......................................................................
99
6.1.2 MINIMIZING THE ITERATION E R R O R
..........................................................................
109
6.2 ELSINGER AND HYBRID A LG O RITH M
......................................................................................
112
6.2.1 BEHAVIOR OF THE DISTANCE BETWEEN CONSECUTIVE I T E R A T E S
..................................
113
6.2.2 ESTIMATES FOR THE ITERATION ERRORS
....................................................................114
7 SIMULATION STUDIES 121
7.1 SIMULATION FRAM EW
ORK......................................................................................................121
7.1.1 ASSET AND DEBT S TR U C TU RE
...................................................................................
121
7.1.2 OWNERSHIP S TRU C TU RE
............................................................................................
122
7.2 SIMULATION P ARAM
ETERS.....................................................................................................
129
7.2.1 INPUT PARAM
ETERS..................................................................................................
129
7.2.2 OUTPUT P ARAM
ETERS...............................................................................................
131
7.3 OPTIMIZING NON-FINITE A LGORITHM
S...................................................................................
135
7.3.1 RESULTS
..................................................................................................................135
7.3.2
DISCUSSION...............................................................................................................137
7.4 OPTIMIZING TRIAL-AND-ERROR A LGORITHM
S..........................................................................139
7.4.1 RESULTS
..................................................................................................................139
7.4.2
DISCUSSION...............................................................................................................140
7.5 ANALYSIS OF ALGORITHM EFFICIENCY
...................................................................................
141
7.5.1 RESULTS
..................................................................................................................141
7.5.2
DISCUSSION.....................................................................................................
...
. 142
8 SUMMARY AND OUTLOOK 145
A AUXILIARY RESULTS 147
B ADDITIONAL TABLES 151
B.L ERROR RATES FOR NON-FINITE A LG O RITH M S
..........................................................................151
B.2 RUNTIME FOR TRIAL-AND-ERROR A LG O RITH M
S.......................................................................152
B.3 ADDITIONAL TABLES FOR THE R U N TIM E
.......................................................................
...
. 154
B.4 ITERATION NUMBERS OF THE A LGORITHM
S.............................................................................157
|
| any_adam_object | 1 |
| author | Hain, Johannes ca. 20./21. Jh |
| author_GND | (DE-588)1127052950 (DE-588)128798335 |
| author_facet | Hain, Johannes ca. 20./21. Jh |
| author_role | aut |
| author_sort | Hain, Johannes ca. 20./21. Jh |
| author_variant | j h jh |
| building | Verbundindex |
| bvnumber | BV044212361 |
| classification_rvk | SK 980 |
| collection | ebook |
| ctrlnum | (OCoLC)975239131 (DE-599)DNB1126417548 |
| dewey-full | 510 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 510 - Mathematics |
| dewey-raw | 510 |
| dewey-search | 510 |
| dewey-sort | 3510 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Thesis Book |
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| spelling | Hain, Johannes ca. 20./21. Jh. Verfasser (DE-588)1127052950 aut Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung vorgelegt von Johannes Hain aus Hösbach ; Erster Gutachter: Professor Dr. Tom Fischer ... Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung Würzburg 2015 viii, 161 Seiten txt rdacontent n rdamedia nc rdacarrier Dissertation Julius-Maximilians-Universität Würzburg 2016 Langzeitarchivierung gewährleistet, LZA Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Financial Networks Counterparty Risk Numerical Asset Valuation Systemic Risk Structrual Model Unternehmensbewertung Kapitalverflechtung Finanzielle Netzwerke Systemisches Risiko (DE-588)4113937-9 Hochschulschrift gnd-content Finanzmathematik (DE-588)4017195-4 s Risikomanagement (DE-588)4121590-4 s DE-604 Fischer, Tom 1975- (DE-588)128798335 dgs Erscheint auch als Online-Ausgabe, PDF urn:nbn:de:bvb:20-opus-128108 https://nbn-resolving.org/urn:nbn:de:bvb:20-opus-128108 Resolving-System kostenfrei Volltext http://d-nb.info/1126417548/34 Langzeitarchivierung Nationalbibliothek DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029618584&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hain, Johannes ca. 20./21. Jh Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung |
| title_alt | Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung |
| title_auth | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung |
| title_exact_search | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung |
| title_full | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung vorgelegt von Johannes Hain aus Hösbach ; Erster Gutachter: Professor Dr. Tom Fischer ... |
| title_fullStr | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung vorgelegt von Johannes Hain aus Hösbach ; Erster Gutachter: Professor Dr. Tom Fischer ... |
| title_full_unstemmed | Valuation Algorithms for Structural Models of Financial Networks = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung vorgelegt von Johannes Hain aus Hösbach ; Erster Gutachter: Professor Dr. Tom Fischer ... |
| title_short | Valuation Algorithms for Structural Models of Financial Networks |
| title_sort | valuation algorithms for structural models of financial networks algorithmen zur bestimmung von gleichgewichtslosungen in finanzsystemen mit kapitalverflechtung |
| title_sub | = Algorithmen zur Bestimmung von Gleichgewichtslösungen in Finanzsystemen mit Kapitalverflechtung |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzmathematik Risikomanagement Hochschulschrift |
| url | https://nbn-resolving.org/urn:nbn:de:bvb:20-opus-128108 http://d-nb.info/1126417548/34 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029618584&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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