Supervisor: Leone Leonida; George Kapetanios
Research Goup: Banking and Finance
Project Title: Resilience of financial networks to systemic risks: an analysis in the STEM framework.
Year of Study: 2018, Part-time
The main goal of my PhD project is to explore the properties of resilience of an interbank network to systemic risks in relation to controls introduced in the system, which can represent, for instance, the support of the central bank providing additional liquidity. The idea is to explore the contagion dynamics over different networks' architectures with the main goal to explore the impact of the network structure on the systematic part and on the idiosyncratic part of the risk in the Vasicek model. The novelty with respect to previous models relies in including an abstract ‘mobility’ among nodes representing securitization of loans. A secondary goal is to try to fully understand the functioning of the banking system balancing between competitiveness and stability. Both analyses are aimed at exploiting the role of potential regulations in reducing systemic risks.
Currently teaching: MATLAB for Finance, MSc Banking and Finance