Related papers: Identifying relationship lending in the interbank …
We consider signed networks in which connections or edges can be either positive (friendship, trust, alliance) or negative (dislike, distrust, conflict). Early literature in graph theory theorized that such networks should display…
Investigations of social influence in collective decision-making have become possible due to recent technologies and platforms that record interactions in far larger groups than could be studied before. Herding and its impact on…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence…
Lending decisions are usually made with proprietary models that provide minimally acceptable explanations to users. In a future world without such secrecy, what decision support tools would one want to use for justified lending decisions?…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
Understanding the structures why links are formed is an important and prominent research topic. In this paper, we therefore consider the link prediction problem in face-to-face contact networks, and analyze the predictability of new and…
Banks are important for the development of economies in any financial ecosystem through consumer and business loans. Lending, however, presents risks; thus, banks have to determine the applicant's financial position to reduce the…
As the amount of linked data published on the web grows, attempts are being made to describe and measure it. However even basic statistics about a graph, such as its size, are difficult to express in a uniform and predictable way. In order…
We use machine learning techniques to investigate whether it is possible to replicate the behavior of bank managers who assess the risk of commercial loans made by a large commercial US bank. Even though a typical bank already relies on an…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
Relationships between people constantly evolve, altering interpersonal behavior and defining social groups. Relationships between nodes in social networks can be represented by a tie strength, often empirically assessed using surveys. While…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
Link prediction, the problem of identifying missing links among a set of inter-related data entities, is a popular field of research due to its application to graph-like domains. Producing consistent evaluations of the performance of the…
Topics in conversations depend in part on the type of interpersonal relationship between speakers, such as friendship, kinship, or romance. Identifying these relationships can provide a rich description of how individuals communicate and…
This article examines how legacy lending relationships shape the allocation of emergency credit under severe information frictions. Using a novel dataset linking Small Business Administration (SBA) loan records with Dun and Bradstreet…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…