Related papers: A framework for analyzing contagion in banking net…
We present an analytical approach to determining the expected cascade size in a broad range of dynamical models on the class of random networks with arbitrary degree distribution and nonzero clustering introduced in [M.E.J. Newman, Phys.…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
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…
The interplay of biological, social, structural and random factors makes disease forecasting extraordinarily complex. The course of an epidemic exhibits average growth dynamics determined by features of the pathogen and the population, yet…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
Complex contagion models have been developed to understand a wide range of social phenomena such as adoption of cultural fads, the diffusion of belief, norms, and innovations in social networks, and the rise of collective action to join a…
In this paper we introduce a statistical inference framework for estimating the contagion source from a partially observed contagion spreading process on an arbitrary network structure. The framework is based on a maximum likelihood…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
We examine the heterogeneous responses of individual nodes in sparse networks to the random removal of a fraction of edges. Using the message-passing formulation of percolation, we discover considerable variation across the network in the…
We study a simple model of epidemics where an infected node transmits the infection to its neighbors independently with probability $p$. This is also known as the independent cascade or Susceptible-Infected-Recovered (SIR) model with fixed…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
There is a commonality among contagious diseases, tweets, urban crimes, nuclear reactions, and neuronal firings that past events facilitate the future occurrence of events. The spread of events has been extensively studied such that the…
Bootstrap percolation is a process that is used to model the spread of an infection on a given graph. In the model considered here each vertex is equipped with an individual threshold. As soon as the number of infected neighbors exceeds…