Related papers: Clearing algorithms and network centrality
Contagion processes on networks, including disease spreading, information diffusion, or social behaviors propagation, can be modeled as simple contagion, i.e. involving one connection at a time, or as complex contagion, in which multiple…
Targeting influential nodes in complex networks allows fastening or hindering rumors, epidemics, and electric blackouts. Since communities are prevalent in real-world networks, community-aware centrality measures exploit this information to…
We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
System modeling is a classical approach to ensure their reliability since it is suitable both for a formal verification and for software testing techniques. In the context of model-based testing an approach combining random testing and…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
In ATM systems, the massive number of interacting entities makes it difficult to identify critical elements and paths of disturbance propagation, as well as to predict the system-wide effects that innovations might have. To this end,…
This paper develops a continuous framework for analyzing financial contagion that incorporates both geographic proximity and interbank network linkages. The framework characterizes stress propagation through a master equation whose solution…
Algorithmic systems make decisions that have a great impact in our lives. As our dependency on them is growing so does the need for transparency and holding them accountable. This paper presents a model for evaluating how transparent these…
Centrality metrics have been used in various networks, such as communication, social, biological, geographic, or contact networks. In particular, they have been used in order to study and analyze targeted attack behaviors and investigated…
Understanding the network structure, and finding out the influential nodes is a challenging issue in the large networks. Identifying the most influential nodes in the network can be useful in many applications like immunization of nodes in…
Identifying key nodes is crucial for accelerating or impeding dynamic spreading in a network. Community-aware centrality measures tackle this problem by exploiting the community structure of a network. Although there is a growing trend to…
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized…
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…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…
Hierarchy and centrality are two popular notions used to characterize the importance of entities in complex systems. Indeed, many complex systems exhibit a natural hierarchical structure, and centrality is a fundamental characteristic…