Related papers: Systemic risk in a network fragility model analyze…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
Over the last two decades, network theory has shown to be a fruitful paradigm in understanding the organization and functioning of real-world complex systems. One technique helpful to this endeavor is identifying functionally influential…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
Random walk is one of the basic mechanisms found in many network applications. We study the epidemic spreading dynamics driven by biased random walks on complex networks. In our epidemic model, each time infected nodes constantly spread…
In this paper we explore the evolution of transport capacity on networks with stochastic incidence of damage and accumulation of faults in their connections. For each damaged configuration of the network, we analyze a Markovian random…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…
Traffic fluctuation has so far been studied on unweighted networks. However many real traffic systems are better represented as weighted networks, where nodes and links are assigned a weight value representing their physical properties such…
Models of complex networks often incorporate node-intrinsic properties abstracted as hidden variables. The probability of connections in the network is then a function of these variables. Real-world networks evolve over time, and many…
Threshold rules of spreading in binary-state networks lead to cascades. We study persistent cascade-recovery dynamics on quasi-robust networks, i.e., networks which are robust against small trigger but may collapse for larger one. It is…
Localized perturbations in a real-world network have the potential to trigger cascade failures at the whole system level, hindering its operations and functions. Standard approaches analytically tackling this problem are mostly based either…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
In this brief, we study epidemic spreading dynamics taking place in complex networks. We specifically investigate the effect of synergy, where multiple interactions between nodes result in a combined effect larger than the simple sum of…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
We introduce the concept of natural connectivity as a robustness measure of complex networks. The natural connectivity has a clear physical meaning and a simple mathematical formulation. It characterizes the redundancy of alternative paths…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
This paper develops a continuous functional framework for analyzing contagion dynamics in financial networks, extending the Navier-Stokes-based approach to network-structured spatial processes. We model financial distress propagation as a…
We present the mathematical analysis of generalized complex contagions in clustered multiplex networks for susceptible-infected-recovered (SIR)-like dynamics. The model is intended to understand diffusion of influence, or any other…