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We introduce a multiscale measure of network instability based on the joint use of Detrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST) filtering. The proposed metric, the Elastic Detrended Cross-Correlation Ratio…
Individual and community psychology plays an important role in disaster management as human behavior exhibit diverse risk perceptions, recognition of the threats that exists, positive and negative emotions, panic, anger, rumor, stress and…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
In the context of containment of default contagion in financial networks, we here study a regulator that allocates pre-shock capital or liquidity buffers across banks connected by interbank liabilities and common external asset exposures.…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
Infrastructure networks are increasingly vulnerable to natural hazards and design flaws, making resilience assessment essential. This paper presents a scenario-based framework to evaluate network vulnerability by combining local measures…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
Resilience has emerged as a crucial concept for evaluating structural performance under disasters because of its ability to extend beyond traditional risk assessments, accounting for a system's ability to minimize disruptions and maintain…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
The usage of psychological networks that conceptualize psychological behavior as a complex interplay of psychological and other components has gained increasing popularity in various fields of psychology. While prior publications have…
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 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…
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
We consider a network consisting of $n$ components (links or nodes) and assume that the network has two states, up and down. We further suppose that the network is subject to shocks that appear according to a counting process and that each…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…