Related papers: Sensitivity and Computational Complexity in Financ…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
We study numerically the dynamics of a network of all-to-all-coupled, identical sub-networks consisting of diffusively coupled, non-identical FitzHugh--Nagumo oscillators. For a large range of within- and between-network couplings, the…
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,…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Valuing corporate bonds in systemic economies is challenging due to intricate webs of inter-institutional exposures. When a bank defaults, cascading losses propagate through the network, with payments determined by a system of fixed-point…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Neural networks demonstrate inherent vulnerability to small, non-random perturbations, emerging as adversarial attacks. Such attacks, born from the gradient of the loss function relative to the input, are discerned as input conjugates,…
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been…
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of…
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 study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…
Real-world complex systems such as ecological communities and neuron networks are essential parts of our everyday lives. These systems are composed of units which interact through intricate networks. The ability to predict sudden changes in…
Real complex systems are not rigidly structured; no clear rules or blueprints exist for their construction. Yet, amidst their apparent randomness, complex structural properties universally emerge. We propose that an important class of…
Understanding the structural complexity and predictability of complex networks is a central challenge in network science. Although recent studies have revealed a relationship between compression-based entropy and link prediction…
Inspired by empirical studies of networked systems such as the Internet, social networks, and biological networks, researchers have in recent years developed a variety of techniques and models to help us understand or predict the behavior…
Complex networks can model the structure and dynamics of different types of systems. It has been shown that they are characterized by a set of measures. In this work, we evaluate the variability of complex networks measures face to…
Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…