Related papers: Intervention On Default Contagion Under Partial In…
This paper studies the problem of estimating individualized treatment rules when treatment effects are partially identified, as it is often the case with observational data. By drawing connections between the treatment assignment problem…
In this work and the supporting Parts II [2] and III [3], we provide a rather detailed analysis of the stability and performance of asynchronous strategies for solving distributed optimization and adaptation problems over networks. We…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
We describe the bailout of banks by governments as a Markov Decision Process (MDP) where the actions are equity investments. The underlying dynamics is derived from the network of financial institutions linked by mutual exposures, and the…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
We investigate systems of interacting stochastic differential equations with two kinds of heterogeneity: one originating from different weights of the linkages, and one concerning their asymptotic relevance when the system becomes large. To…
Randomized experiments are widely used to estimate the causal effects of a proposed treatment in many areas of science, from medicine and healthcare to the physical and biological sciences, from the social sciences to engineering, to public…
Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…
Networked control strategies based on limited information about the plant model usually results in worse closed-loop performance than optimal centralized control with full plant model information. Recently, this fact has been established by…
Motivated by the idea that some characteristics are specific to the relations between individuals and not of the individuals themselves, we study a prototype model for the dynamics of the states of the links in a fixed network of…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
We study identification and inference in nonlinear dynamic systems defined on unknown interaction networks. The system evolves through an unobserved dependence matrix governing cross-sectional shock propagation via a nonlinear operator. We…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
We propose a generic system model for a special category of interdependent networks, demand-supply networks, in which the demand and the supply nodes are associated with heterogeneous loads and resources, respectively. Our model sheds a…
Exploring measures to improve financial networks and mitigate systemic risks is an ongoing challenge. We study claims trading, a notion defined in Chapter 11 of the U.S. Bankruptcy Code. For a bank $v$ in distress and a trading partner $w$,…
Traditionally, statistical and causal inference on human subjects rely on the assumption that individuals are independently affected by treatments or exposures. However, recently there has been increasing interest in settings, such as…