Related papers: Clearing algorithms and network centrality
Community detection can be considered as a variant of cluster analysis applied to complex networks. For this reason, all existing studies have been using tools derived from this field when evaluating community detection algorithms. However,…
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
The predominant method for evaluating the quality of causal models is to measure the graphical accuracy of the learned model structure. We present an alternative method for evaluating causal models that directly measures the accuracy of…
In recent years, a CRA (Credit Risk Analysis) quantum algorithm with a quadratic speedup over classical analogous methods has been introduced. We propose a new variant of this quantum algorithm with the intent of overcoming some of the most…
System reliability analysis aims at computing the probability of failure of an engineering system given a set of uncertain inputs and limit state functions. Active-learning solution schemes have been shown to be a viable tool but as of yet…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
The vast majority of strategies aimed at controlling contagion processes on networks considers the connectivity pattern of the system as either quenched or annealed. However, in the real world many networks are highly dynamical and evolve…
Tremendous advances have been made in our understanding of the properties and evolution of complex networks. These advances were initially driven by information-poor empirical networks and theoretical analysis of unweighted and undirected…
Two versions of the susceptible-infected-susceptible epidemic model, which have different transmission rules, are analysed. Both models are considered on a weighted network to simulate a mitigation in the connection between the individuals.…
Ensuring robust model performance in diverse real-world scenarios requires addressing generalizability across domains with covariate shifts. However, no formal procedure exists for statistically evaluating generalizability in machine…
Complex networks are ubiquitous to several Computer Science domains. Centrality measures are an important analysis mechanism to uncover vital elements of complex networks. However, these metrics have high computational costs and…
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
Randomized controlled trials (RCT's) allow researchers to estimate causal effects in an experimental sample with minimal identifying assumptions. However, to generalize or transport a causal effect from an RCT to a target population,…
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
Traditional measures of closeness and betweenness centrality in networks rely on the shortest paths between nodes. Many standard metrics fail to accurately reflect the physical or probabilistic characteristics of nodal centrality and…
Within the framework of maximum entropy principle we show that the finite-size long-range Ising model is the adequate model for the description of homogeneous credit portfolios and the computation of credit risk when default correlations…
Network service providers and customers are often concerned with aggregate performance measures that span multiple network paths. Unfortunately, forming such network-wide measures can be difficult, due to the issues of scale involved. In…
The rate of adoption of new information depends on reinforcement from multiple sources in a way that often cannot be described by simple contagion processes. In such cases, contagion is said to be complex. Complex contagion happens in the…