Network Modelling of Financial Systems and their Liquidity

The task is to develop use cases for a toy financial system model that has recently been built for and in collaboration with the European Central Bank for simulating liquidity stress test. The system is built in R and Shiny and uses the ACTUS standard contract types cf. https://www.actusfrf.org) as basis for modeling banks. Currently, the model is deployed on a server. The idea is to add use cases to this model that demonstrate systemic effects such as contagion and market freeze. The specific subject will be defined according to the interests and inclination of the students.

Expected outcome:

• A thorough understanding of the liquidity dynamics of financial systems
• An understanding, if liquidity crisis can be forecasted using the analyzed models.
• Extension of an existing shiny app with the models built.