Related papers: Diversification and Endogenous Financial Networks
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
Modelling systems with networks has been a powerful approach to tame the complexity of several phenomena. Unfortunately, such an approach is often made difficult by the large number of variables to take into consideration. Methods of…
Interaction with individuals from other socioeconomic classes has been shown to be a main driver for social mobility. We employ tools of social identity theory and network analysis to show how exposure to individuals of different social…
Growing awareness of the impact of business activity on the environment increases the pressure on governing bodies to address this issue. One possibility is to encourage or force the market into green behaviours. However, it is often hard…
We study the coevolution of network structure and signaling behavior. We model agents who can preferentially associate with others in a dynamic network while they also learn to play a simple sender-receiver game. We have four major…
Faced with uncertainty in decision making, individuals often turn to their social networks to inform their decisions. In consequence, these networks become central to how new products and behaviors spread. A key structural feature of…
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
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…
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…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
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…
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
Gene regulatory networks arise in all living cells, allowing the control of gene expression patterns. The study of their topology has revealed that certain subgraphs of interactions or "motifs" appear at anomalously high frequencies. We ask…
The retail banking services are one of the pillars of the modern economic growth. However, the evolution of the client's habits in modern societies and the recent European regulations promoting more competition mean the retail banks will…
Various functions of a network of excitable units can be enhanced if the network is in the `critical regime', where excitations are, on average, neither damped nor amplified. An important question is how can such networks self-organize to…
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic…
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network…
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when…