Related papers: A systemic shock model for too big to fail financi…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
In reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
Large scale networks delineating collective dynamics often exhibit cascading failures across nodes leading to a system-wide collapse. Prominent examples of such phenomena would include collapse on financial and economic networks.…
The analysis of standardized low cycle fatigue (LCF) experiments shows that the failure times widely scatter. Furthermore, mechanical components often fail before the deterministic failure time is reached. A possibility to overcome these…
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…
We present a general prediction scheme of failure times based on updating continuously with time the probability for failure of the global system, conditioned on the information revealed on the pre-existing idiosyncratic realization of the…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
Understanding the timing of the peak of a disease outbreak forms an important part of epidemic forecasting. In many cases, such information is essential for planning increased hospital bed demand and for designing of public health…
Empirical estimation of critical points at which complex systems abruptly flip from one state to another is among the remaining challenges in network science. However, due to the stochastic nature of critical transitions it is widely…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
We consider stochastic growth models for populations organized in colonies and subject to uniform catastrophes. To assess population viability, we analyze scenarios in which individuals adopt dispersion strategies after catastrophic events.…
Forest-fire and avalanche models support the notion that frequent catastrophes prevent the growth of very large populations and as such prevent rare large-scale catastrophes. We show that this notion is not universal. A new model class…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Given a stochastic structure with a filtration $\mathbb{F}$, the class of all random times whose conditional distribution functions are differentiable with respect to some $\mathbb{F}$ adapted non decreasing processes is considered. The…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…