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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…
The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…
Desirable system performance in the face of threats and disruptions has been characterized by various management concepts. Through semi-structured interviews with editors of journals in the fields of emergency response and systems…
Adaptivity is a dynamical feature that is omnipresent in nature, socio-economics, and technology. For example, adaptive couplings appear in various real-world systems like the power grid, social, and neural networks, and they form the…
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools such as insurance instruments on the underlying wellbeing…
This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics…
Existing metrics in competing risks survival analysis such as concordance and accuracy do not evaluate a model's ability to jointly predict the event type and the event time. To address these limitations, we propose a new metric, which we…
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
Agreement coefficients provide a fundamental framework for quantifying the concordance between two or more measurement methods applied to the same continuous variable. Unlike correlation, which measures the strength of a linear…
There is a lack of quantitative measures to evaluate the progression of topics through time in dynamic topic models (DTMs). Filling this gap, we propose a novel evaluation measure for DTMs that analyzes the changes in the quality of each…
Adoption of machine learning models in healthcare requires end users' trust in the system. Models that provide additional supportive evidence for their predictions promise to facilitate adoption. We define consistent evidence to be both…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
In this paper, we study the robustness of safety properties of a linear dynamical system with respect to model uncertainties. Our paper involves three parts. In the first part, we provide symbolic (analytical) and numerical (representation…
Conformal predictions make it possible to define reliable and robust learning algorithms. But they are essentially a method for evaluating whether an algorithm is good enough to be used in practice. To define a reliable learning framework…