Related papers: Clearing algorithms and network centrality
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…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
We introduce a quantitative method to compare arbitrary pairs of graph centrality measures, based on the ordering of vertices induced by them. The proposed method is conceptually simple, mathematically elegant, and allows for a quantitative…
The structure of many complex networks includes edge directionality and weights on top of their topology. Network analysis that can seamlessly consider combination of these properties are desirable. In this paper, we study two important…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
Identifying important nodes in complex networks is a fundamental problem in network analysis. Although a plethora of measures has been proposed to identify important nodes in static (i.e., time-invariant) networks, there is a lack of tools…
This monograph provides an overview of the mathematical theories and computational algorithm design for contagion source detection in large networks. By leveraging network centrality as a tool for statistical inference, we can accurately…
We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
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…
Among the most fundamental tools for social network analysis are centrality measures, which quantify the importance of every node in the network. This centrality analysis typically disregards the possibility that the network may have been…
A class of fast greedy block Kaczmarz methods combined with general greedy strategy and average technique are proposed for solving large consistent linear systems. Theoretical analysis of the convergence of the proposed method is given in…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
Measures of complex network analysis, such as vertex centrality, have the potential to unveil existing network patterns and behaviors. They contribute to the understanding of networks and their components by analyzing their structural…
We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…
We introduce a new measure of centrality, the information centrality C^I, based on the concept of efficient propagation of information over the network. C^I is defined for both valued and non-valued graphs, and applies to groups and classes…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
Experts from several disciplines have been widely using centrality measures for analyzing large as well as complex networks. These measures rank nodes/edges in networks by quantifying a notion of the importance of nodes/edges. Ranking aids…