Related papers: Spreadsheets and the Financial Collapse

The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…

The power of mobile devices has increased dramatically in the last few years. These devices are becoming more sophisticated allowing users to accomplish a wide variety of tasks while on the move. The increasingly mobile nature of business…

Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…

This paper outlines an approach to manage and quantify the risks associated with changes made to spreadsheets. The methodology focuses on structural differences between spreadsheets and suggests a technique by which a risk analysis can be…

Microsoft Excel is the most ubiquitous analytical tool ever built. Companies around the world leverage it for its power, flexibility and ease of use. However, spreadsheets are manually intensive and prone to error, making it difficult for…

This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…

Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…

Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…

The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…

Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB…

The 2008 financial crisis exposed fundamental vulnerabilities in interconnected banking systems, yet existing frameworks fail to integrate spatial propagation with network contagion mechanisms. This paper develops a unified spatial-network…

We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…

The 2008 global financial crisis marked the beginning of a decade dominated by fiscal austerity policies in much of the developed world. This paper presents a qualitative narrative review of an extensive collection of academic literature to…

Cloud-based documents are inherently valuable, due to the volume and nature of sensitive personal and business content stored in them. Despite the importance of such documents to Internet users, there are still large gaps in the…

The hard coding of input data or constants into spreadsheet formulas is widely recognised as poor spreadsheet model design. However, the importance of avoiding such practice appears to be underestimated perhaps in light of the lack of…

The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…

One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…

This paper describes a framework for a systematic classification of spreadsheet errors. This classification or taxonomy of errors is aimed at facilitating analysis and comprehension of the different types of spreadsheet errors. The taxonomy…