The dynamics of global financial crises
Author(s)
Kumar, Rishi, 1979-
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Other Contributors
Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science.
Advisor
Andrew Lo.
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Show full item recordAbstract
This research aims to develop a Markov chain model of the transmission of financial crises. It uses a mathematical programming framework to determine the transition probabilities that describe the crisis dynamics. The framework allows for modelling and comparing various channels of contagion, such as investments and bilateral trade.
Description
Thesis (M.Eng. and S.B.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003. Includes bibliographical references (p. 43-44).
Date issued
2003Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer SciencePublisher
Massachusetts Institute of Technology
Keywords
Electrical Engineering and Computer Science.