Related papers: Multichannel Contagion vs Stabilisation in Multipl…

Current understanding holds that financial contagion is driven mainly by the system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted…

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…

Antifragility is a property from which systems are able to resist stress and furthermore benefit from it. Even though antifragile dynamics is found in various real-world complex systems where multiple subsystems interact with each other,…

Prior social contagion models consider the spread of either one contagion at a time on interdependent networks or multiple contagions on single layer networks or under assumptions of competition. We propose a new threshold model for the…

A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central…

Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…

We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a…

The controllability of a network is a theoretical problem of relevance in a variety of contexts ranging from financial markets to the brain. Until now, network controllability has been characterized only on isolated networks, while the vast…

Inter-layer synchronization is a dynamical state occurring in multi-layer networks composed of identical nodes. The state corresponds to have all layers synchronized, with nodes in each layer which do not necessarily evolve in unison. So…

The question that how cultural variation emerges has drawn lots of interest in sociological inquiry. Sociologists predominantly study such variation through the lens of social contagion, which mostly attributes cultural variation to the…

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…

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,…

Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…

Contagion processes on networks, including disease spreading, information diffusion, or social behaviors propagation, can be modeled as simple contagion, i.e. involving one connection at a time, or as complex contagion, in which multiple…

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…

Real-world systems in epidemiology, social sciences, power transportation, economics and engineering are often described as multilayer networks. Here we first define and compute the symmetries of multilayer networks, and then study the…

Complex networks often have a modular structure, where a number of tightly- connected groups of nodes (modules) have relatively few interconnections. Modularity had been shown to have an important effect on the evolution and stability of…

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…

Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work…

The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…