Related papers: Efficient immunization strategies to prevent finan…
The COVID-19 pandemic began over two years ago, yet schools, businesses, and other organizations are still struggling to keep the risk of disease outbreak low while returning to (near) normal functionality. Observations from these past…
School environments are thought to play an important role in the community spread of airborne infections (e.g., influenza) because of the high mixing rates of school children. The closure of schools has therefore been proposed as efficient…
We present and analyze an actively controlled Susceptible-Infected-Susceptible (actSIS) model of interconnected populations to study how risk aversion strategies, such as social distancing, affect network epidemics. A population using a…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
Designing effective strategies for controlling epidemic spread by vaccination is an important question in epidemiology, especially in the early stages when vaccines are limited. This is a challenging question when the contact network is…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
Containing an epidemic at its origin is the most desirable mitigation. Epidemics have often originated in rural areas, with rural communities among the first affected. Disease dynamics in rural regions have received limited attention, and…
In this paper, a susceptible-infected-susceptible (SIS) model with identical infectivity, where each node is assigned with the same capability of active contacts, $A$, at each time step, is presented. We found that on scale-free networks,…
We consider multiple diseases spreading in a static Configuration Model network. We make standard assumptions that infection transmits from neighbor to neighbor at a disease-specific rate and infected individuals recover at a…
We consider the problem of risk diversification in complex networks. Nodes represent e.g. financial actors, whereas weighted links represent e.g. financial obligations (credits/debts). Each node has a risk to fail because of losses…
Understanding dynamics of an infectious disease helps in designing appropriate strategies for containing its spread in a population. Recent mathematical models are aimed at studying dynamics of some specific types of infectious diseases. In…
In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failure leads to the default of another group member. In this…
We consider a SIR model with temporary immunity and time dependent transmission rate. We assume time dependent vaccination which confers the same immunity as natural infection. We study two types of vaccination strategies: i) optimal…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
A number of theoretical models have been developed in recent years modelling epidemic spread in educational settings such as universities to help inform re-opening strategies during the Covid-19 pandemic. However, these studies have had…
We show that, in large population games, decentralized information aggregation generically corrects for individual-level biases. This establishes a new testable aggregate efficiency benchmark where the behavior of boundedly rational agents…