Related papers: Multichannel Contagion vs Stabilisation in Multipl…
Models of threshold driven contagion explain the cascading spread of information, behavior, systemic risk, and epidemics on social, financial and biological networks. At odds with empirical observation, these models predict that…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
The vast majority of strategies aimed at controlling contagion processes on networks considers the connectivity pattern of the system as either quenched or annealed. However, in the real world many networks are highly dynamical and evolve…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…
Inter-layer synchronization is a distinctive process of multiplex networks whereby each node in a given layer undergoes a synchronous evolution with all its replicas in other layers, irrespective of whether or not it is synchronized with…
Interconnected networks describe the dynamics of important systems in a wide range such as biological systems and electrical power grids. Some important features of these systems were successfully studied and understood through simplified…
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…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
The critical infrastructures of the nation such as the power grid and the communication network are highly interdependent. Also, it has been observed that there exists complex interdependent relationships between individual entities of the…
From transportation networks to complex infrastructures, and to social and economic networks, a large variety of systems can be described in terms of multiplex networks formed by a set of nodes interacting through different network layers.…
A susceptible-infected-susceptible (SIS) model of multiple contagions on multilayer networks is developed to incorporate different spreading channels and disease mutations. The basic reproduction number for this model is estimated…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…
We investigate the impact of network heterogeneity on synergistic contagion dynamics. By extending a synergistic contagion model to diverse heterogeneous network topologies, we uncover the emergence of novel dynamical regimes characterized…
Complex systems are characterized by many interacting units that give rise to emergent behavior. A particularly advantageous way to study these systems is through the analysis of the networks that encode the interactions among the system's…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
Human social networks are inherently multiplex, comprising overlapping layers of relationships. Different layers may have distinct structural properties and interpersonal dynamics, but also may interact to form complex interdependent…