Related papers: Network Sensitivity of Systemic Risk
With increasingly ambitious initiatives such as GENI and FIND that seek to design the future Internet, it becomes imperative to define the characteristics of robust topologies, and build future networks optimized for robustness. This paper…
The compartmental models used to study epidemic spreading often assume the same susceptibility for all individuals, and are therefore, agnostic about the effects that differences in susceptibility can have on epidemic spreading. Here we…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
Network motifs are often called the building blocks of networks. Analysis of motifs is found to be an indispensable tool for understanding local network structure, in contrast to measures based on node degree distribution and its functions…
The transmission dynamics of some infectious diseases is related to the contact structure between individuals in a network. We used five algorithms to generate contact networks with different topological structure but with the same…
Inferring the network topology from the dynamics is a fundamental problem with wide applications in geology, biology and even counter-terrorism. Based on the propagation process, we present a simple method to uncover the network topology.…
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…
We propose some kinetic models of wealth exchange and investigate their behavior on directed networks though numerical simulations. We observe that network topology and directedness yields a variety of interesting features in these models.…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
Various disasters stem from minor perturbations, such as the spread of infectious diseases, cascading failure in power grids, etc. Analyzing perturbations is crucial for both theoretical and application fields. Previous researchers have…
Cyber risks are the most common risks encountered by a modern network system. However, it is significantly difficult to assess the joint cyber risk owing to the network topology, risk propagation, and heterogeneities of components. In this…
Modelling systems with networks has been a powerful approach to tame the complexity of several phenomena. Unfortunately, such an approach is often made difficult by the large number of variables to take into consideration. Methods of…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
The effective use of limited resources for controlling spreading processes on networks is of prime significance in diverse contexts, ranging from the identification of "influential spreaders" for maximizing information dissemination and…
Credit networks rely on decentralized, pairwise trust relationships (channels) to exchange money or goods. Credit networks arise naturally in many financial systems, including the recent construct of payment channel networks in blockchain…
The study of network robustness is a critical tool in the characterization and sense making of complex interconnected systems such as infrastructure, communication and social networks. While significant research has been conducted in all of…
We study a model of wealth dynamics [Bouchaud and M\'ezard 2000, \emph{Physica A} \textbf{282}, 536] which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of…
Social network analysis is now widely used to investigate the dynamics of infectious disease spread from person to person. Vaccination dramatically disrupts the disease transmission process on a contact network, and indeed, sufficiently…