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We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
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…
Agencies such as Standard & Poor's and Moody's provide bank credit ratings that influence economic stability and decision-making by stakeholders. Accurate and timely predictions support informed decision-making, regulatory actions, and…
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and…
Regulatory stress tests have become one of the main tools for setting capital requirements at the largest U.S. banks. The Federal Reserve uses confidential models to evaluate bank-specific outcomes for bank-specific portfolios in shared…
What should regulators of complex algorithms regulate? We propose a model of oversight over 'black-box' algorithms used in high-stakes applications such as lending, medical testing, or hiring. In our model, a regulator is limited in how…
We study a rating system in which a set of individuals (e.g., the customers of a restaurant) evaluate a given service (e.g, the restaurant), with their aggregated opinion determining the probability of all individuals to use the service and…
Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very…
In the age of the Internet, people's lives are increasingly dependent on today's network technology. Maintaining network integrity and protecting the legitimate interests of users is at the heart of network construction. Threat detection is…
Disparities in lending to minority applicants persist even as algorithmic lending finds widespread adoption. We study the role of risk-management constraints, specifically Value-at-Risk ($\VaR$) and Expected Shortfall (ES), in inducing…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
Risk assessment is a substantial problem for financial institutions that has been extensively studied both for its methodological richness and its various practical applications. With the expansion of inclusive finance, recent attentions…
We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of…
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when…
Credit risk prediction is an effective way of evaluating whether a potential borrower will repay a loan, particularly in peer-to-peer lending where class imbalance problems are prevalent. However, few credit risk prediction models for…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This…