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Steering a complex system towards a desired outcome is a challenging task. The lack of clarity on the system's exact architecture and the often scarce scientific data upon which to base the operationalisation of the dynamic rules that…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Risk specialists are trying to understand risk better and use complex models for risk assessment, while many risks are not yet well understood. The lack of empirical data and complex causal and outcome relationships make it difficult to…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
This study implements a novel Fuzzy Cognitive Map (FCM) framework for addressing large complex socio-ecological problems. These are characterized as qualitative, dominated by uncertainty, human involvement with different and vague…
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…
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from Biagini, Fouque, Fritelli and Meyer-Brandis (2019) to graph…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
In light of the tremendous amount of data produced by social media, a large body of research have revisited the relevance estimation of the users' generated content. Most of the studies have stressed the multidimensional nature of relevance…
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…
Decentralized trust management is used as a referral benchmark for assisting decision making by human or intelligence machines in open collaborative systems. During any given period of time, each participant may only interact with a few of…
In the face of increasing financial uncertainty and market complexity, this study presents a novel risk-aware financial forecasting framework that integrates advanced machine learning techniques with intuitionistic fuzzy multi-criteria…
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…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
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…
Various financial market scenarios may cause heterogeneous risk assessments among analysts, which motivates the usage of the Generalized Risk Measure in Fadina et al. (2024, Finance and Stochastics). Effectively synthesizing these diverse…