Related papers: Heterogeneity, correlations and financial contagio…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
We investigate robustness of correlated networks against propagating attacks modeled by a susceptible-infected-removed model. By Monte-Carlo simulations, we numerically determine the first critical infection rate, above which a global…
Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…
The compartmental models used to study epidemic spreading often assume the same susceptibility for all individuals, and are therefore, agnostic about the effects that differences in susceptibility can have on epidemic spreading. Here we…
Contact tracing via digital tracking applications installed on mobile phones is an important tool for controlling epidemic spreading. Its effectivity can be quantified by modifying the standard methodology for analyzing percolation and…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
Studies on the propagation of malware in mobile networks have revealed that the spread of malware can be highly inhomogeneous. Platform diversity, contact list utilization by the malware, clustering in the network structure, etc. can also…
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…
Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work…
We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
There is empirical evidence from a range of disciplines that as the connectivity of a network increases, we observe an increase in the average fitness of the system. But at the same time, there is an increase in the proportion of…
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
Understanding the causes and effects of network structural features is a key task in deciphering complex systems. In this context, the property of network nestedness has aroused a fair amount of interest as regards ecological networks.…
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
We study a graph-theoretic property known as robustness, which plays a key role in certain classes of dynamics on networks (such as resilient consensus, contagion and bootstrap percolation). This property is stronger than other graph…
We investigate the role of degree correlation among nodes on the stability of complex networks, by studying spectral properties of randomly weighted matrices constructed from directed Erd\"{o}s-R\'enyi and scale-free random graph models. We…