Related papers: Network Sensitivity of Systemic Risk
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…
We review the main tools which allow for the statistical characterization of weighted networks. We then present two case studies, the airline connection network and the scientific collaboration network, which are representative of critical…
The power of networks manifests itself in a highly non-linear amplification of a number of effects, and their weakness - in propagation of cascading failures. The potential systemic risk effects can be either exacerbated or mitigated,…
In this work, water distribution systems are regarded as large sparse planar graphs with complex network characteristics and the relationship between important topological features of the network (i.e. structural robustness and loop…
Disasters impact communities through interconnected social, spatial, and physical networks. Analyzing network dynamics is crucial for understanding resilience and recovery. We highlight six studies demonstrating how hazards and recovery…
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when…
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,…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
This paper leverages linear systems theory to propose a principled measure of complexity for network systems. We focus on a network of first-order scalar linear systems interconnected through a directed graph. By locally filtering out the…
Recent work in the area of interdependent networks has focused on interactions between two systems of the same type. However, an important and ubiquitous class of systems are those involving monitoring and control, an example of…
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB…
Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
Network structures in a wide array of systems such as social networks, transportation, power and water distribution infrastructures, and biological and ecological systems can exhibit critical thresholds or tipping points beyond which there…
Epidemic spreading on complex networks depends on the topological structure as well as on the dynamical properties of the infection itself. Generally speaking, highly connected individuals play the role of hubs and are crucial to channel…
We study contagion and systemic risk in sparse financial networks with balance-sheet interactions on a directed random graph. Each institution has homogeneous liabilities and equity, and exposures along outgoing edges are split equally…
Despite the huge interest in network resilience to stress, most of the studies have concentrated on internal stress damaging network structure (e.g., node removals). Here we study how networks respond to environmental stress deteriorating…