Three essays on financial institutions and risk management
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Authors
Simaan, Majeed
Issue Date
2018-05
Type
Electronic thesis
Thesis
Thesis
Language
ENG
Keywords
Management
Alternative Title
Abstract
Chapter 2 contributes to the recent macroprudential policy addressing the resilience of financial systems in terms of their interconnectedness. I argue that beneath the overnight market there is a fundamental latent network that affects the funds distribution among entities. I propose a framework that identifies such latent network using a statistical learning procedure. Specifically, the framework reverse engineers overnight signals observed as banks conduct their reserve management on a daily basis. My simulation-based results show that possible disruptions in funds supply are highly affected by the interconnectedness of the latent network. The proposed framework serves as an early warning system for regulators to monitor the overnight market and to detect ex-ante possible disruptions based on the inherent network characteristics.
Description
May 2018
School of Management
School of Management
Full Citation
Publisher
Rensselaer Polytechnic Institute, Troy, NY