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We propose a random bipartite graph with weights assigned to both parts of the vertex sets. Edges are formed independently with probabilities that depend on these weights. This bipartite graph naturally gives rise to a random intersection…
Ensuring safety in autonomous multi-agent systems during time-critical tasks such as rendezvous is a fundamental challenge, particularly under communication delays and uncertainty in system parameters. In this paper, we develop a…
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
Localized shocks arising from climate extremes, geopolitical conflicts, and trade protectionism cascade through trade networks, triggering global food crises. Cross-product substitution, a critical response strategy, induces cross-product…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
Randomized controlled trials are not only the golden standard in medicine and vaccine trials but have spread to many other disciplines like behavioral economics, making it an important interdisciplinary tool for scientists. When designing…
Two-sided matchings are an important theoretical tool used to model markets and social interactions. In many real life problems the utility of an agent is influenced not only by their own choices, but also by the choices that other agents…
In this contribution, the properties of sub-stochastic matrix and super-stochastic matrix are applied to analyze the bipartite tracking issues of multi-agent systems (MASs) over signed networks, in which the edges with positive weight and…
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…
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in financial markets. We construct a structural multi-agent…
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
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…
This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their…
We develop a systemic risk framework to explore cascading systemic failures in networked control systems. A time-delayed version of the vehicle platooning problem is used as a benchmark to study the interplay among network connectivity,…
Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to determine a payment without estimating the actual loss,…
A load sharing system has several components and the failure of one component can affect the lifetime of the surviving components. Since component failure does not equate to system failure for different system designs, the analysis of the…