Latest commit 5a971af on 15 Dec 2015 schatimo new

README.md

@@ -1,44 +1,18 @@
-# MATLAB Fall 2014 – Research Plan (Template)
-(text between brackets to be removed)
+# MATLAB Fall 2015 – Research Plan 
 
-> * Group Name: (be creative!)
-> * Group participants names: (alphabetically sorted by last name)
-> * Project Title: (can be changed later)
+> * Group Name: destructive
+> * Group participants names: Deichmann Marion; Kaiser Laurenz; Schäfer Timo
+> * Project Title: Modelling Contagion in a Core-Periphery Financial Network
 
 ## General Introduction
 
-(States your motivation clearly: why is it important / interesting to solve this problem?)
-(Add real-world examples, if any)
-(Put the problem into a historical context, from what does it originate? Are there already some proposed solutions?)
+Especially after the collapse of Lehman in 2008 researchers and policy
+makers have shifted their focus towards the interconnectedness of
+financial intermediaries regarding interbank lending. It has been shown that the default of a bank
+can trigger other banks' failure via the network structure. Since then global discussions regarding
+capital requirements and banking regulations have emerged, i.e. Basel III, Volcker Rule, Liikanen
+report, UK Whitebook. All these measures aim to decrease the
+probability of default of banks and hence, to reduce contagion
+w.r.t. financial distress.
 
-## The Model
-
-(Define dependent and independent variables you want to study. Say how you want to measure them.) (Why is your model a good abtraction of the problem you want to study?) (Are you capturing all the relevant aspects of the problem?)
-
-
-## Fundamental Questions
-
-(At the end of the project you want to find the answer to these questions)
-(Formulate a few, clear questions. Articulate them in sub-questions, from the more general to the more specific. )
-
-
-## Expected Results
-
-(What are the answers to the above questions that you expect to find before starting your research?)
-
-
-## References 
-
-(Add the bibliographic references you intend to use)
-(Explain possible extension to the above models)
-(Code / Projects Reports of the previous year)
-
-
-## Research Methods
-
-(Cellular Automata, Agent-Based Model, Continuous Modeling...) (If you are not sure here: 1. Consult your colleagues, 2. ask the teachers, 3. remember that you can change it afterwards)
-
-
-## Other
-
-(mention datasets you are going to use)
+see proposal_css.pdf

README.md~

@@ -0,0 +1,43 @@
+# MATLAB Fall 2015 – Research Plan 
+
+> * Group Name: destructive
+> * Group participants names: Deichmann, Marion; Kaiser, Lorenz; Schäfer, Timo
+> * Project Title: Modelling Contagion in a Core Periphery Financial Network
+
+## General Introduction
+
+(States your motivation clearly: why is it important / interesting to solve this problem?)
+(Add real-world examples, if any)
+(Put the problem into a historical context, from what does it originate? Are there already some proposed solutions?)
+
+## The Model
+
+(Define dependent and independent variables you want to study. Say how you want to measure them.) (Why is your model a good abtraction of the problem you want to study?) (Are you capturing all the relevant aspects of the problem?)
+
+
+## Fundamental Questions
+
+(At the end of the project you want to find the answer to these questions)
+(Formulate a few, clear questions. Articulate them in sub-questions, from the more general to the more specific. )
+
+
+## Expected Results
+
+(What are the answers to the above questions that you expect to find before starting your research?)
+
+
+## References 
+
+(Add the bibliographic references you intend to use)
+(Explain possible extension to the above models)
+(Code / Projects Reports of the previous year)
+
+
+## Research Methods
+
+(Cellular Automata, Agent-Based Model, Continuous Modeling...) (If you are not sure here: 1. Consult your colleagues, 2. ask the teachers, 3. remember that you can change it afterwards)
+
+
+## Other
+
+(mention datasets you are going to use)

code/README.md

@@ -1,3 +1,11 @@
-# Code Folder 
+data: balance sheet data from bankscope, description, see data.readme
 
-Your code goes here. You could also replace the content of this file with something more meaningful
+master1: set ups financial network and balance sheet data (includes plotting for subplots)
+
+eigencentr: function to calculate eigenvector centrality for a weighted adjacency matrix
+
+simCBPost: capital buffer simulation using FDA for the post crisis scenario (ER before shock)
+
+simCBPre: capital buffer simulation using FDA for the pre crisis scenario (no ER before shock)
+
+simBailout: bail out simulation

code/README.md~

@@ -0,0 +1,3 @@
+# Code Folder 
+
+Your code goes here. You could also replace the content of this file with something more meaningful

code/bankReadme.txt

@@ -0,0 +1,3 @@
+interbank assets | external assets | interbank liabilities | equity | 
+external liabilities (i.e. deposits) | check solvency | current equity ratio
+

code/data.readme.txt

@@ -0,0 +1,3 @@
+country dummy | total assets | interbank assets | equity | interbank liabilities |
+
+all values in $billion, data end 2014

code/eigencentr.m

@@ -0,0 +1,11 @@
+function [ X, I ] = eigencentr( adjac )
+%eigencentr: eigencentrality of nodes in network
+
+ [V,D] = eig(adjac);
+ [max_eig,ind]= max(diag(D));
+ x = V(:,ind);
+
+ [X,I] = sort(x,'descend');
+
+end
+

code/master1.m

@@ -0,0 +1,145 @@
+clear all;
+load('data.mat');
+%data = sortrows(data,[1,-2]);
+%setseed
+
+%create country specific network characteristics
+probCtr = 0.05;
+
+ncAT=2; npAT=5; mcAT=12; mpAT=3; mcpAT=4;
+AT = [ncAT npAT mcAT mpAT mcpAT];
+
+ncBE=3; npBE=4; mcBE=12; mpBE=3; mcpBE=6;
+BE = [ncBE npBE mcBE mpBE mcpBE];
+
+ncCH=5; npCH=10; mcCH=20; mpCH=7; mcpCH=10;
+CH = [ncCH npCH mcCH mpCH mcpCH];
+
+ncDE=11; npDE=23; mcDE=44; mpDE=17; mcpDE=22;
+DE = [ncDE npDE mcDE mpDE mcpDE];
+
+ncDK=4; npDK=7; mcDK=16; mpDK=5; mcpDK=8;
+DK = [ncDK npDK mcDK mpDE mcpDK];
+
+ncES=5; npES=13; mcES=20; mpES=9; mcpES=10;
+ES = [ncES npES mcES mpES mcpES];
+
+ncFI=2; npFI=2; mcFI=4; mpFI=2; mcpFI=1;
+FI = [ncFI npFI mcFI mpFI mcpFI];
+
+ncFR=10; npFR=33; mcFR=40; mpFR=24; mcpFR=20;
+FR = [ncFR npFR mcFR mpFR mcpFR];
+
+ncGB=9; npGB=30; mcGB=36; mpGB=22; mcpGB=18;
+GB = [ncGB npGB mcGB mpGB mcpGB];
+
+ncGR=1; npGR=3; mcGR=4; mpGR=2; mcpGR=2;
+GR = [ncGR npGR mcGR mpGR mcpGR];
+
+ncIE=2; npIE=6; mcIE=8; mpIE=4; mcpIE=4;
+IE = [ncIE npIE mcIE mpIE mcpIE];
+
+ncIT=6; npIT=19; mcIT=24; mpIT=14; mcpIT=12;
+IT = [ncIT npIT mcIT mpIT mcpIT];
+
+ncLU=2; npLU=6; mcLU=8; mpLU=5; mcpLU=4;
+LU = [ncLU npLU mcLU mpLU mcpLU];
+
+ncNL=3; npNL=5; mcNL=12; mpNL=3; mcpNL=6;
+NL = [ncNL npNL mcNL mpNL mcpNL];
+
+ncPT=2; npPT=4; mcPT=8; mpPT=3; mcpPT=4;
+PT = [ncPT npPT mcPT mpPT mcpPT];
+
+ncSE=3; npSE=4; mcSE=12; mpSE=3; mcpSE=5;
+SE = [ncSE npSE mcSE mpSE mcpSE];
+
+ctr = [AT;BE;CH;DE;DK;ES;FI;FR;GB;GR;IE;IT;LU;NL;PT;SE];
+[n,~] = size(data);
+[fn, adj] = Gnm(ctr, probCtr,data);
+adj = adj';
+% plot(fn);
+% title('$$G(n,m,p)$$','Interpreter','latex');
+% axis off;
+
+%%basis for t=0
+indeg = fn.indegree;
+%get interbank assets and external assets from balance sheet
+for i = 1:n
+    bank{1,i}(1,1) = data(i,3);
+    bank{1,i}(1,2) = data(i,2)-data(i,3);
+end
+
+%vector of interbank assets (claims) of n banks
+ibA = cell2mat(bank);
+ibA = ibA(1,1:2:2*n);
+
+
+%remaing variables
+for i= 1:n
+    %L_IB via outgoing links
+    bank{1,i}(1,3) = ibA * adj(:,i);
+    %equity from balance sheet
+    bank{1,i}(1,4) = data(i,4);
+    %L_E endogenous
+    bank{1,i}(1,5) = sum(bank{1,i}(1,1:2))-sum(bank{1,i}(1,3:4));
+    %check solvency
+    bank{1,i}(1,6) = bank{1,i}(1,4)>0;
+    %current equity ratio
+    bank{1,i}(1,7) = bank{1,i}(1,4)/sum(bank{1,i}(1,1:2));
+    liabTot(i) = bank{1,i}(1,3) +  bank{1,i}(1,5) ;
+end     
+
+
+%% plot aggregation
+subplot(1,2,1) 
+fig1 = figure(1);
+   set(fig1,'defaulttextinterpreter','latex');
+   set(fig1, 'defaultAxesTickLabelInterpreter','latex')  ; 
+   grid on;
+   p1 = plot(erVecIP1,erVecResultsIP1,'color','blue');  
+   hold on;
+   p2 = plot(erVecIP1,nErFDIP1,'color','red');
+   hold on;
+   p3 = plot(erVecIP1,dCoreFinIP1,'color','magenta');
+   hold on;
+   p4 = plot(erVecIP1,dPerFinIP1,'color','green');
+   xlabel('\textit{ER}');
+   ylim([0.1 0.5]);
+   ylabel('relative \#defaults');
+   ybounds = ylim();
+   set(gca, 'ytick', ybounds(1):0.05:ybounds(2));
+   title(sprintf('FDA simulation with different equity ratios, pre-crisis: a=%d, b=%d',distn.a, distn.b),'fontsize',14,'fontweight','bold');
+subplot(1,2,2) 
+fig2 = figure(1);
+   set(fig2,'defaulttextinterpreter','latex');
+   set(fig2, 'defaultAxesTickLabelInterpreter','latex')  ; 
+   grid on;
+   p1 = plot(erVecIP,erVecResultsIP,'color','blue');  
+   hold on;
+   p2 = plot(erVecIP,nErFDIP,'color','red');
+   hold on;
+   p3 = plot(erVecIP,dCoreFinIP,'color','magenta');
+   hold on;
+   p4 = plot(erVecIP,dPerFinIP,'color','green');
+   xlabel('\textit{ER}');
+   ylabel('relative \#defaults');
+   ylim([0.1 0.5]);
+   ybounds = ylim();
+   set(gca, 'ytick', ybounds(1):0.05:ybounds(2));
+   title(sprintf('FDA simulation with different equity ratios, post-crisis: a=%d, b=%d',distn.a, distn.b),'fontsize',14,'fontweight','bold');
+leg = legend([p1 p2 p3 p4], {'Contagious','Fundamental','Core contagion','Periphery contagion'},'Location','southoutside','orientation','horizontal');
+newPosition = [0.4 0.03 0.2 0.03];
+newUnits = 'normalized';
+set(leg,'Position', newPosition,'Units', newUnits);
+print('C:\Users\Timo Sch�fer\Documents\Banking and Finance\HS 2015\Computational Social Sciences with Matlab\Text\CBPlotCombi', '-dpng');
+
+axoptions={'scaled y ticks = false',...
+           'y tick label style={/pgf/number format/.cd, fixed, fixed zerofill,precision=2}',...
+           'scaled x ticks = false',...
+           'x tick label style={/pgf/number format/.cd, fixed, fixed zerofill,precision=2}'};  
+matlab2tikz('C:\Users\Timo Sch�fer\Documents\Banking and Finance\HS 2015\Computational Social Sciences with Matlab\Text\CBPlotCombi.tex','extraAxisOptions',axoptions); 
+
+
+
+

presentation/README.md

@@ -1,3 +1 @@
-# Presentation Folder 
-
-Add your presentation here...but first finish the code and the report!
+current presentation file for Tue 15 Dec, 2015

presentation/README.md~

@@ -0,0 +1,3 @@
+# Presentation Folder 
+
+Add your presentation here...but first finish the code and the report!