Related papers: Structural changes in the interbank market across …

Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…

The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…

The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…

Communities in networks are commonly considered as highly cohesive subgraphs which are well separated from the rest of the network. However, cohesion and separation often cannot be maximized at the same time, which is why a compromise is…

Understanding the functional roles of financial institutions within interconnected markets is critical for effective supervision, systemic risk assessment, and resolution planning. We propose an interpretable role-based clustering approach…

We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…

Blockchains are significantly easing trade finance, with billions of dollars worth of assets being transacted daily. However, analyzing these networks remains challenging due to the sheer volume and complexity of the data. We introduce a…

Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…

Meso-scale structures, such as core-periphery (CP) and community structure, have attracted significant attention in modern network science. While communities are characterized by dense intra-group and sparse inter-group connections, CP…

We introduce several novel and computationally efficient methods for detecting "core--periphery structure" in networks. Core--periphery structure is a type of mesoscale structure that includes densely-connected core vertices and…

Networks often possess mesoscale structures, and studying them can yield insights into both structure and function. It is most common to study community structure, but numerous other types of mesoscale structures also exist. In this paper,…

Core-periphery structure is an essential mesoscale feature in complex networks. Previous researches mostly focus on discriminative approaches while in this work, we propose a generative model called masked Bayesian non-negative matrix…

Core-periphery networks are structures that present a set of central and densely connected nodes, namely the core, and a set of non-central and sparsely connected nodes, namely the periphery. The rich-club refers to a set in which the…

The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover…

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…

Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…

The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…

The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…

Networks may, or may not, be wired to have a core that is both itself densely connected and central in terms of graph distance. In this study we propose a coefficient to measure if the network has such a clear-cut core-periphery dichotomy.…

The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…