Related papers: Systemic Risk, Maximum Entropy and Interbank Conta…
Probabilistic reasoning systems combine different probabilistic rules and probabilistic facts to arrive at the desired probability values of consequences. In this paper we describe the MESA-algorithm (Maximum Entropy by Simulated Annealing)…
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…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
The concept of entropy rate for a dynamical process on a graph is introduced. We study diffusion processes where the node degrees are used as a local information by the random walkers. We describe analitically and numerically how the degree…
Spiking activity from populations of neurons display causal interactions and memory effects. Therefore, they are expected to show some degree of irreversibility in time. Motivated by the spike train statistics, in this paper we build a…
In this paper we study the interplay between epidemic spreading and risk perception on multiplex networks. The basic idea is that the effective infection probability is affected by the perception of the risk of being infected, which we…
Network reconstruction consists in retrieving the hidden interaction structure of a system from observations. Many reconstruction algorithms have been proposed, although less research has been devoted to describe their theoretical…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
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…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…
This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
The brain is a highly complex system. Most of such complexity stems from the intermingled connections between its parts, which give rise to rich dynamics and to the emergence of high-level cognitive functions. Disentangling the underlying…
We investigate the dependence of the maximum entropy method (MEM) reconstruction performance on the default model. The maximum entropy method is a reconstruction technique that utilizes prior information, referred to as the default model,…
Propagation of contagion in networks depends on the graph topology. This paper is concerned with studying the time-asymptotic behavior of the extended contact processes on static, undirected, finite-size networks. This is a contact process…
Maximum entropy principle (MEP) offers an effective and unbiased approach to inferring unknown probability distributions when faced with incomplete information, while neural networks provide the flexibility to learn complex distributions…
Maximum likelihood estimation is effective for identifying dynamical systems, but applying it to large networks becomes computationally prohibitive. This paper introduces a maximum likelihood estimation method that enables identification of…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes…