Related papers: The multiplex structure of interbank networks
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Networks in the real world do not exist as isolated entities, but they are often part of more complicated structures composed of many interconnected network layers. Recent studies have shown that such mutual dependence makes real networked…
Community currency networks are made up of individuals and or companies that share some physical or social characteristics and engage in economic transactions using a virtual currency. This paper investigates the structural and dynamic…
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been…
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
Investigating relation between various structural patterns found in real-world networks and stability of underlying systems is crucial to understand importance and evolutionary origin of such patterns. We evolve multiplex networks,…
Multi-layered networks represent a major advance in the description of natural complex systems, and their study has shed light on new physical phenomena. Despite its importance, however, the role of the temporal dimension in their structure…
Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to…
The international trade network is a complex system where multiple trade blocs with varying sizes coexist and overlap with each other. However, the resulting structures of community detection in trade networks are often inconsistent and…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…
The interactions among the elementary components of many complex systems can be qualitatively different. Such systems are therefore naturally described in terms of multiplex or multi-layer networks, i.e. networks where each layer stands for…
Although networks provide a powerful approach to study a large variety of ecological systems, their formulation does not typically account for multiple interaction types, interactions that vary in space and time, and interconnected systems…
This paper studies the network structure and fragmentation of the Argentinean interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined, applying complex network analysis. Results indicate that, although the…
Inter-layer synchronization is a distinctive process of multiplex networks whereby each node in a given layer undergoes a synchronous evolution with all its replicas in other layers, irrespective of whether or not it is synchronized with…
We describe the emergence of the giant mutually connected component in networks of networks in which each node has a single replica node in any layer and can be interdependent only on its replica nodes in the interdependent layers. We prove…
Our current world is linked by a complex mesh of networks where information, people and goods flow. These networks are interdependent each other, and present structural and dynamical features different from those observed in isolated…