Related papers: Credit Default Swaps Drawup Networks: Too Tied To …
Credit networks rely on decentralized, pairwise trust relationships (channels) to exchange money or goods. Credit networks arise naturally in many financial systems, including the recent construct of payment channel networks in blockchain…
Collective stable chaos consists of the persistence of disordered patterns in dynamical spatiotemporal systems possessing a negative maximum Lyapunov exponent. We analyze the role of the topology of connectivity on the emergence and…
Dynamical networks with time delays can pose a considerable challenge for mathematical analysis. Here, we extend the approach of generalized modeling to investigate the stability of large networks of delay-coupled delay oscillators. When…
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency.…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
The spread of an infectious disease can be promoted by previous infections with other pathogens. This cooperative effect can give rise to violent outbreaks, reflecting the presence of an abrupt epidemic transition. As for other diffusive…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
Measuring the topological overlap of two graphs becomes important when assessing the changes between temporally adjacent graphs in a time-evolving network. Current methods depend on the fraction of nodes that have persisting edges. This…
Financial networks raise a significant computational challenge in identifying insolvent firms and evaluating their exposure to systemic risk. This task, known as the clearing problem, is computationally tractable when dealing with simple…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
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…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Complex systems which can be represented in the form of static and dynamic graphs arise in different fields, e.g. communication, engineering and industry. One of the interesting problems in analysing dynamic network structures is to monitor…
Dynamic networks are ubiquitous for modelling sequential graph-structured data, e.g., brain connectome, population flows and messages exchanges. In this work, we consider dynamic networks that are temporal sequences of graph snapshots, and…
Many applications in network analysis require algorithms to sample uniformly at random from the set of all graphs with a prescribed degree sequence. We present a Markov chain based approach which converges to the uniform distribution of all…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…
This work presents a framework for studying temporal networks using zigzag persistence, a tool from the field of Topological Data Analysis (TDA). The resulting approach is general and applicable to a wide variety of time-varying graphs. For…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
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…