Related papers: Measuring Systemic Risk: Robust Ranking Techniques…
Risk assessments for advanced AI systems require evaluating both the models themselves and their deployment contexts. We introduce the Societal Capacity Assessment Framework (SCAF), an indicators-based approach to measuring a society's…
A common problem in risk analysis is to characterize the overall security of a system of valuable assets (e.g., government buildings or communication hubs), and to suggest measures to mitigate any hazards or security threats. Currently,…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
Cyber networks are fundamental to many organization's infrastructure, and the size of cyber networks is increasing rapidly. Risk measurement of the entities/endpoints that make up the network via available knowledge about possible threats…
The relentless process of tracking and remediating vulnerabilities is a top concern for cybersecurity professionals. The key challenge is trying to identify a remediation scheme specific to in-house, organizational objectives. Without a…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
Organizations including companies, nonprofits, governments, and academic institutions are increasingly developing, deploying, and utilizing artificial intelligence (AI) tools. Responsible AI (RAI) governance approaches at organizations have…
Empirical measures of financial connectedness based on Forecast Error Variance Decompositions (FEVDs) often yield dense network structures that obscure true transmission channels and complicate the identification of systemic risk. This…
Determining the key elements of interconnected infrastructure and complex systems is paramount to ensure system functionality and integrity. This work quantifies the dominance of the networks' nodes in their respective neighborhoods,…
In real-life decision-making problems, determining the influences of the factors on the decision attribute is one of the primary tasks. To affect the decision attribute most, finding a proper hierarchy among the factors and determining…
Advanced societies are crucially dependent on critical infrastructure networks for the reliable delivery of essential goods and services. Hence, well-founded analyses concerning disruptions are necessary to inform decisions that aim to…
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $\phi$-divergences. The risk measures are allowed to be non-linear in probabilities, are represented by Choquet…
Network analysis can help uncover meaningful regularities in the organization of complex systems. Among these, rich clubs are a functionally important property of a variety of social, technological and biological networks. Rich clubs emerge…
Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures is called identifiable (elicitable) it it admits a strict…
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…
In this article, we address the challenge of identifying skilled mutual funds among a large pool of candidates, utilizing the linear factor pricing model. Assuming observable factors with a weak correlation structure for the idiosyncratic…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
Bank financial performance encapsulates an institution's capacity to effectively manage its assets, capital, and operational activities to generate profits and ensure stability. Evaluating this performance necessitates the integration of…
Cascading failures represent a fundamental threat to the integrity of complex systems, often precipitating a comprehensive collapse across diverse infrastructures and financial networks. This research articulates a robust and pragmatic…