Data
The data set contains a matrix of interbank exposures. The entry (i,j) represents the amount lent by j to i, a vector of external (non interbank) assets, and a vector of equities for a group of banks.
Task
You should present a statistical characterization of the system for what concern the distributional properties of balance sheets and interbank claims. You should generate the network corresponding to the pattern of interbank loans, characterize its properties (e.g. degree distribution, clustering, assortativity), discuss how it is different or similar to random networks, and how you do expect the network properties to affect the propagation of distress within the system, when this is measured with the Furfine algorithm.
You will then perform stress tests using the Furfine algorithm, analyze and discuss their results. You are free to explore scenarios of your choice for what concern the initial exogenous shock, and to make assumptions for what concern the composition of the portfolio of banks’ external assets, as long as all assumptions and scenarios are clearly stated and justified in your written report
Written report
A brief written report (indicatively around 2500 words plus figures and tables) containing the justification of the approach, the presentation of the results, the discussion of the results and conclusions should be submitted.
Marking
The marking will be mainly based on the following criteria:
1) Clarity of the report (is the report clear and well structured, are figures informative, is the methodology explained well? Are modeling assumptions discussed?)
2) Results (are results sound?)
3) Critical discussion (are results correctly interpreted? Is there a discussion of limitations and further challenges?)
The reports will be marked by academic staff.