Date of Award
1-1-2012
Document Type
Masters Thesis
Degree Name
M.A.
Organizational Unit
College of Arts Humanities and Social Sciences
First Advisor
Markus Schneider, Ph.D.
Keywords
Agent based modeling, Fundamental uncertainty, Value at risk
Abstract
By applying common financial risk assessment models to the network economy formalized in Delli Gatti et al. (2006), and by contextualizing both in the broader literature on complexity in economic systems, the question of convergence in economic models is addressed. Critically, a formal state condition is identified which can contribute to the emergence of periods of extreme divergence from expected conditions even in a model characterized by restrictive assumptions regarding agent choice and market structure. The strength of the impact of this state condition, here the topology of a credit network, on the dynamics of the economic system is furthermore shown to be highly dependent upon the structure of the market. The existence of such state conditions has fundamental implications for the evaluation of risk and institutional design in economic systems
Publication Statement
Copyright is held by the author. User is responsible for all copyright compliance.
Rights Holder
Alexander Kent Spray
Provenance
Received from ProQuest
File Format
application/pdf
Language
en
File Size
74 p.
Recommended Citation
Spray, Alexander Kent, "Cascading Failures and Fundamental Uncertainty: Divergence in Financial Risk Assessment" (2012). Electronic Theses and Dissertations. 621.
https://digitalcommons.du.edu/etd/621
Copyright date
2012
Discipline
Economics, Finance