Related papers: Measuring Systemic Risk: Robust Ranking Techniques…
We study contagion and systemic risk in sparse financial networks with balance-sheet interactions on a directed random graph. Each institution has homogeneous liabilities and equity, and exposures along outgoing edges are split equally…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
Ranking systems have an unprecedented influence on how and what information people access, and their impact on our society is being analyzed from different perspectives, such as users' discrimination. A notable example is represented by…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…
The world's collective knowledge is evolving through research and new scientific discoveries. It is becoming increasingly difficult to objectively rank the impact research institutes have on global advancements. However, since the funding,…
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…
Finding the important nodes in complex networks by topological structure is of great significance to network invulnerability. Several centrality measures have been proposed recently to evaluate the performance of nodes based on their…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast,…
The primary concern in area of computational grid is security and resources. Most of the existing grids address this problem by authenticating the users, hosts and their interactions in an appropriate manner. A secured system is compulsory…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
Bank credit rating classifies banks into different levels based on publicly disclosed and internal information, serving as an important input in financial risk management. However, domain experts have a vague idea of exploring and comparing…
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…
We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…
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…
Experts from several disciplines have been widely using centrality measures for analyzing large as well as complex networks. These measures rank nodes/edges in networks by quantifying a notion of the importance of nodes/edges. Ranking aids…
This paper leverages linear systems theory to propose a principled measure of complexity for network systems. We focus on a network of first-order scalar linear systems interconnected through a directed graph. By locally filtering out the…
Recently an increasing amount of research is devoted to the question of how the most influential nodes (seeds) can be found effectively in a complex network. There are a number of measures proposed for this purpose, for instance,…
With the rapid development of Internet finance, a large number of studies have shown that Internet financial platforms have different financial systemic risk characteristics when they are subject to macroeconomic shocks or fragile internal…