Related papers: Intervention On Default Contagion Under Partial In…
Modified treatment policies are a widely applicable class of interventions useful for studying the causal effects of continuous exposures. Approaches to evaluating their causal effects assume no interference, meaning that such effects…
Consider a setting where $N$ players, partitioned into $K$ observable types, form a directed network. Agents' preferences over the form of the network consist of an arbitrary network benefit function (e.g., agents may have preferences over…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…
The stable unit treatment value assumption states that the outcome of an individual is not affected by the treatment statuses of others, however in many real world applications, treatments can have an effect on many others beyond the…
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prove a law of large numbers for the empirical measure capturing…
Contagion effect refers to the causal effect of peers' behavior on the outcome of an individual in social networks. Contagion can be confounded due to latent homophily which makes contagion effect estimation very hard: nodes in a homophilic…
The network-based model of social contagion has revolved around information on local interactions; its central focus has been on network topological properties shaping the local interactions and, ultimately, social contagion outcomes. We…
This paper considers a half-duplex scenario where an interferer behaves according to a parametric model but the values of the model parameters are unknown. We explore the necessary number of sensing steps to gather sufficient knowledge…
This paper deals with the estimation of exogeneous peer effects for partially observed networks under the new inferential paradigm of design identification, which characterizes the missing data challenge arising with sampled networks with…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Defining and identifying causal intervention effects for transmissible infectious disease outcomes is challenging because a treatment -- such as a vaccine -- given to one individual may affect the infection outcomes of others.…
In network settings, interference between units makes causal inference more challenging as outcomes may depend on the treatments received by others in the network. Typical estimands in network settings focus on treatment effects aggregated…
We propose a dynamic mean field model for `systemic risk' in large financial systems, which we derive from a system of interacting diffusions on the positive half-line with an absorbing boundary at the origin. These diffusions represent the…
Bank crisis is challenging to define but can be manifested through bank contagion. This study presents a comprehensive framework grounded in nonlinear time series analysis to identify potential early warning signals (EWS) for impending…
We consider the evolutionary dynamics of a cooperative game on an adaptive network, where the strategies of agents (cooperation or defection) feed back on their local interaction topology. While mutual cooperation is the social optimum,…
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…
We study the optimal joint intervention of a planner who can influence both the standalone marginal utilities of agents in a network and the weights of the links connecting them. The welfare-maximizing intervention displays two key…
This paper investigates the identification and inference of treatment effects in randomized controlled trials with social interactions. Two key network features characterize the setting and introduce endogeneity: (1) latent variables may…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
We present current methods for estimating treatment effects and spillover effects under "interference", a term which covers a broad class of situations in which a unit's outcome depends not only on treatments received by that unit, but also…