Related papers: The multiplex structure of interbank networks
A general upper bound for topological entropy of switched nonlinear systems is constructed, using an asymptotic average of upper limits of the matrix measures of Jacobian matrices of strongly persistent individual modes, weighted by their…
Biological systems, from a cell to the human brain, are inherently complex. A powerful representation of such systems, described by an intricate web of relationships across multiple scales, is provided by complex networks. Recently, several…
In this article the problem of reconstructing the pattern of connection between agents from partial empirical data in a macro-economic model is addressed, given a set of behavioral equations. This systemic point of view puts the focus on…
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…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
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 study of complex networks has been historically based on simple graph data models representing relationships between individuals. However, often reality cannot be accurately captured by a flat graph model. This has led to the…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we…
The way the topological structure goes from a decoupled state into a coupled one in multiplex networks has been widely studied by means of analytical and numerical studies, involving models of artificial networks. In general, these…
Understanding the structural complexity and predictability of complex networks is a central challenge in network science. Although recent studies have revealed a relationship between compression-based entropy and link prediction…
Links in most real networks often change over time. Such temporality of links encodes the ordering and causality of interactions between nodes and has a profound effect on network dynamics and function. Empirical evidences have shown that…
Multilayer networks have been the subject of intense research during the last few years, as they represent better the interdependent nature of many real world systems. Here, we address the question of describing the three different…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Complex network theory aims to model and analyze complex systems that consist of multiple and interdependent components. Among all studies on complex networks, topological structure analysis is of the most fundamental importance, as it…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…