Related papers: A default system with overspilling contagion
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…
A complex contagion is an infectious process in which individuals may require multiple transmissions before changing state. These are used to model behaviors if an individual only adopts a particular behavior after perceiving a consensus…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
Social contagion is the process in which people adopt a belief, idea, or practice from a neighbor and pass it along to someone else. For over 100 years, scholars of social contagion have almost exclusively made the same implicit assumption:…
For classical Markovian stochastic systems, past and future events become statistically independent when conditioned to a given state at the present time. Memory non-Markovian effects break this condition, inducing a non-vanishing…
Complex networks have been successfully used to describe the spread of diseases in populations of interacting individuals. Conversely, pairwise interactions are often not enough to characterize social contagion processes such as opinion…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Many driven systems alternate between bursts of activity and quiescence and can become trapped in an absorbing state, such as complete inactivity in reaction-diffusion processes or extinction in predator-prey dynamics. It is generally…
We present derivations of the contagion condition for a range of spreading mechanisms on families of generalized random networks and bipartite random networks. We show how the contagion condition can be broken into three elements, two…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
Physiological stress fundamentally alters disease susceptibility in aquatic environments. In this paper, we develop a stress-structured epidemiological model where host vulnerability is dynamically driven by water quality. Analytically, we…
In this work, we develop a mathematical framework to model a quantum system whose Hamiltonian may depend on the state of changing environment, that evolves according to a Markovian process. When the environment changes its state, the…
We introduce a family of particle systems on sparse graphs where local interactions occur via hitting times, providing a dynamic and tractable model for default cascades in large sparsely-connected financial networks. Building on the…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
Although ubiquitous, interactions of groups of individuals (e.g., modern messaging applications, group meetings, or even a parliament discussion) are not yet thoroughly studied. Frequently, single-groups are modeled as critical-mass…
Human behaviors in social systems are often shaped by group pressure and collective norms, especially since the rise of social media platforms. However, in the context of adopting misbehaviors, most existing contagion models rely on…
Spatio-temporal extensions of familiar compartment models for disease transmission incorporating diffusive behavior, or interactions between individuals at separate locations, are explored. The models considered have the character of…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
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…