Related papers: Leveraging the network: a stress-test framework ba…
The growing instability of both global and domestic economic environments has increased the risk of financial distress at the household level. However, traditional econometric models often rely on delayed and aggregated data, limiting their…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
The recent developments and research in distributed ledger technologies and blockchain have contributed to the increasing adoption of distributed systems. To collect relevant insights into systems' behavior, we observe many evaluation…
Building a machine learning solution in real-life applications often involves the decomposition of the problem into multiple models of various complexity. This has advantages in terms of overall performance, better interpretability of the…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
The ability to analyze network threats is very important in security research. Traditional approaches, involving sandboxing technology are limited to simulating a single host, missing local network attacks. This issue is addressed by…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…
In this paper we present a novel algorithm to study the evolution of credit risk across complex multilayer networks. Pagerank-like algorithms allow for the propagation of an influence variable across single networks, and allow quantifying…
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…
We propose a nonparametric and time-varying directed information graph (TV-DIG) framework to estimate the evolving causal structure in time series networks, thereby addressing the limitations of traditional econometric models in capturing…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
The instability of financial system issues might trigger a bank failure, evoke spillovers, and generate contagion effects which negatively impacted the financial system, ultimately on the economy. This phenomenon is the result of the highly…
To understand how the interconnected and interdependent world of the twenty-first century operates and make model-based predictions, joint probability models for networks and interdependent outcomes are needed. We propose a comprehensive…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
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…
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…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…