Related papers: A systemic shock model for too big to fail financi…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
We study the probability distribution of a current flowing through a diffusive system connected to a pair of reservoirs at its two ends. Sufficient conditions for the occurrence of a host of possible phase transitions both in and out of…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
Demographic and health indicators may exhibit short or large short-term shocks; for example, armed conflicts, epidemics, or famines may cause shocks in period measures of life expectancy. Statistical models for estimating historical trends…
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…
The coherent systems are basic concepts in reliability theory and survival analysis. They contain as particular cases the popular series, parallel and $k$-ou-of-$n$ systems (order statistics). Many results have been obtained for them by…
We consider stochastic discrete event dynamic systems that have time evolution represented with two-dimensional state vectors through a vector equation that is linear in terms of an idempotent semiring. The state transitions are governed by…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Interpretation of empirical results based on a taxa's lifetime distribution shows apparently conflicting results. Species' lifetime is reported to be exponentially distributed, whereas higher order taxa, such as families or genera, follow a…
We propose a new methodology based on the Marshall-Olkin (MO) copula to model cross-border systemic risk. The proposed framework estimates the impact of the systematic and idiosyncratic components on systemic risk. Initially, we propose a…
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…