Related papers: Dynamic Contagion in a Banking System with Births …
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…
A basic model of a dynamical distribution network is considered, modeled as a directed graph with storage variables corresponding to every vertex and flow inputs corresponding to every edge, subject to unknown but constant inflows and…
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 study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…
Social contagion is a ubiquitous and fundamental process that drives individual and social changes. Although social contagion arises as a result of cognitive processes and biases, the integration of cognitive mechanisms with the theory of…
Most of the research concerting crack propagation in discrete media is concerned with specific types of external loading: displacements on the boundaries, or constant energy fluxes or feeding waves originating from infinity. In this paper…
We investigate the scaling limit of the seed bank diffusion when reproduction and migration (to and from the seed bank) happen on different time-scales. More precisely, we consider the case when migration is `slow' and reproduction is…
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…
The scale and terms of aggregate borrowing in an economy depend on the manner in which wealth is distributed across potential creditors with heterogeneous beliefs about the future. This distribution evolves over time as uncertainty is…
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with its price endogenously determined through market clearing.…
The mean-field limit of a Markovian model describing the interaction of several classes of permanent connections in a network is analyzed. Each of the connections has a self-adaptive behavior in that its transmission rate along its route…
Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the…
We propose a new mean-field game model with two states to study synchronization phenomena, and we provide a comprehensive characterization of stationary and dynamic equilibria along with their stability properties. The game undergoes a…
Strong nonlinear effects combined with diffusive coupling may give rise to unpredictable evolution in spatially extended deterministic dynamical systems even in the presence of a fully negative spectrum of Lyapunov exponents. This regime,…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…