Related papers: Densely Entangled Financial Systems
This paper investigates the endogenous formation of supply chains and its consequences for disruption propagation. In production networks where upstream risk is highly correlated and supplier relationships are not observable, the marginal…
Algorithm of multicurrency trading at the market of Forex is realized on the basis of nonlinear stochastic wavelets. The distinctive feature of the algorithm is the possibility of weakly- and strongly connected horizontal self-assemblies,…
As smart contract platforms autonomously manage billions of dollars of capital, quantifying the portfolio risk that investors engender in these systems is increasingly important. Recent work illustrates that Proof of Stake (PoS) is…
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…
Statistical network models are useful for understanding the underlying formation mechanism and characteristics of complex networks. However, statistical models for \textit{signed networks} have been largely unexplored. In signed networks,…
We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how much of their liabilities can these…
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network…
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial…
Deterrence coalitions that collectively own their deterrence technology, need an institutional design to decide when to retaliate against an attack or incident. This choice of institutional design, formalized through a social choice…
Ensuring the security of networked systems is a significant problem, considering the susceptibility of modern infrastructures and technologies to adversarial interference. A central component of this problem is how defensive resources…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
In this paper, we prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semi-explicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian…
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also…
Aggregated phenomena in social sciences and economics are highly dependent on the way individuals interact. To help understanding the interplay between socio-economic activities and underlying social networks, this paper studies a…
This paper introduces a heterogeneous macroeconomic model of a Proof-of-Stake (PoS) network to analyze the long-term centralizing effects of external traditional finance (TradFi) yields. We model a continuum of rational actors divided into…
A networked system can be made resilient against adversaries and attacks if the underlying network graph is structurally robust. For instance, to achieve distributed consensus in the presence of adversaries, the underlying network graph…
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating…
We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of the interbank network is of fundamental importance for the…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…
Interdependent networks are characterized by two kinds of interactions: The usual connectivity links within each network and the dependency links coupling nodes of different networks. Due to the latter links such networks are known to…