Related papers: A systemic shock model for too big to fail financi…
In a $\delta-$shock model, a system subject to randomly occurring shocks, the system fails when the time between two successive shocks lies below a threshold $\delta$. In this note, we study the generalization of this model where such…
In this paper, we studied the stochastic ordering behavior of series as well as parallel systems' lifetimes comprising dependent and heterogeneous components, experiencing random shocks, and exhibiting distinct dependency structures. We…
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the system suffers from competing soft and sudden failures, where…
This paper examines the lifetime distributions of circular $k$-out-of-$n$: G balanced systems operating in a shock environment, providing a unified framework for both discrete- and continuous-time perspectives. The system remains…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Most theoretical analysis for lifetime distribution explains origins of specific distribution based on independent failure. We develop a unified framework encompassing different lifetime distribution for failure-coupled network systems. We…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
The present study supposes a single unit and investigates cumulative damage and catastrophic failure models for the unit, in situations where the interarrival times between the shocks, and the magnitudes of the shocks, involve two different…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
In this paper, we investigate various stochastic orderings for series and parallel systems with independent and heterogeneous components having lifetimes following the proportional odds model. We also investigate comparisons between system…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
This work considers stochastic comparisons of lifetimes of series and parallel systems with dependent and heterogeneous components having lifetimes following the proportional odds (PO) model. The joint distribution of component lifetimes is…
In engineering systems, it is usually assumed that lifetimes of components are independent and identically distributed (iid). But, the failure of a component results in a higher load on the remaining components and hence causes the…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
In this paper, we present a new Marshall-Olkin exponential shock model. The new construction method gives the proposed model further ability to allocate the common joint shock on each of the components, making it suitable for application in…
The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and…