Related papers: Systemic Risk and Default Clustering for Large Fin…

Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…

Complex risk is a critical factor for both intelligent systems and risk management. In this paper, we consider a special class of risk statistics, named complex risk statistics. Our result provides a new approach for addressing complex…

Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…

We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…

Cluster expansion (CE) is effective in modeling the stability of metallic alloys, but sometimes cluster expansions fail. Failures are often attributed to atomic relaxation in the DFT-calculated data, but there is no metric for quantifying…

We investigate the large-scale distribution of galaxy clusters taken from several X-ray catalogs. Different statistics of clustering like the conditional correlation function (CCF) and the minimal spanning tree (MST) as well as void…

The community structure of complex networks reveals both their organization and hidden relationships among their constituents. Most community detection methods currently available are not deterministic, and their results typically depend on…

Can contagion be inferred from aggregated default data? We study this as a problem of identifiability, asking whether contagion generates components in default count distributions that remain distinct from those induced by macroeconomic…

Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…

Machine learning systems increasingly depend on pipelines of multiple algorithms to provide high quality and well structured predictions. This paper argues interaction effects between clustering and prediction (e.g. classification,…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

In an increasingly interconnected world, a key scientific challenge is to examine mechanisms that lead to the widespread propagation of contagions, such as misinformation and pathogens, and identify risk factors that can trigger large-scale…

Many applications from the financial industry successfully leverage clustering algorithms to reveal meaningful patterns among a vast amount of unstructured financial data. However, these algorithms suffer from a lack of interpretability…

This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…

As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…

This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…

Machine learning systems deployed in the real world must operate under dynamic and often unpredictable distribution shifts. This challenges the validity of statistical safety assurances on the system's risk established beforehand. Common…

The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of…

The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…

A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…