Contagion dynamics across credit networks

The European network "Statistical Physics Approaches to Networks Across Disciplines" (NETADIS) is looking to recruit excellent Early Stage Researchers (ESRs) for attractively funded three-year PhD research projects at 9 leading European partner institutions. This position at King's College London should be taken up on 1 September 2012 or as soon as possible thereafter. Applications arriving after 15 March will be considered where possible.

Candidates are eligible to apply if they have an excellent first degree that qualifies for PhD study in a relevant discipline (e.g. physics, mathematics, computer science, engineering) with preferably a strong background in statistical physics, and less than four years of research experience. At the time of recruitment they must not have resided or carried out their main activity in the U.K. for more than 12 months in the last 3 years. Any PhD course fees will be met from the training expenses contribution to NETADIS, subject to budget restrictions.

NETADIS aims to train a cadre of future research leaders in advanced methods of analysis, inference, control and optimization of network structure and dynamics, to maximize the impact of statistical physics approaches across a broad range of application areas. It is funded by the EU Marie Curie Actions. Each NETADIS project is defined by a principal research theme (inference; dynamics; optimization and control) and a principal application domain (systems biology and neuroscience; information technology; socio-economic systems and finance; network phenomena in physical (laser) systems).

This project will integrate credit derivatives and liquidity dynamics as crucially relevant degrees of freedom into interacting models of systemic risk across credit networks. Studying systemic risk created by credit default swaps (CDS) requires extending existing dynamical models of counter-party risk to include the three-vertex interactions generated by CDS contracts, while including effects of liquidity dynamics requires formulating feedback via additional degrees of freedom. Models will initially be studied in a schematic stochastic setting using generating functional methods. More realistic networks of dependencies will be investigated, complemented by numerical simulations, and implications for the control and regulation of financial networks to optimize their resilience will be explored.

Training will be provided via local training courses and two targeted secondments to another network participant of 2-3 months length each. Network-wide training will include a scientific kick-off meeting, two summer schools, and a final conference. ESRs will also be expected to attend the Spring School of the International Master's Programme in Physics of Complex Systems, and will receive training in transferable skills such as presentation skills; entrepreneurship and exploitation of results; and communication and outreach.