Related papers: Dynamic Contagion in a Banking System with Births …

Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…

We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…

This paper develops a continuous functional framework for analyzing contagion dynamics in financial networks, extending the Navier-Stokes-based approach to network-structured spatial processes. We model financial distress propagation as a…

For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…

We study a model for flocking given by a $n$-particle system under which each particle jumps forward by a random amount, independently sampled from a given distribution $\theta$, with rate given by a non-increasing function $w$ of its…

We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…

We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…

We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…

This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…

Motivated by systems in which droplets grow and shrink in a turbulence-driven supersaturation field, we investigate the problem of turbulent condensation in a general manner. Using direct numerical simulations we show that the turbulent…

We consider a basic model of a dynamical distribution network, 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…

The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.

Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves…

In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we…

We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…

We extend a model of positive feedback and contagion in large mean-field systems, by introducing a common source of noise driven by Brownian motion. Although the driving dynamics are continuous, the positive feedback effect can lead to…

The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…

Large-scale competitive platforms are interacting multi-agent systems in which latent skills drift over time and pairwise interactions are shaped by matchmaking. We study a controlled rating dynamics in the mean-field limit and derive a…

We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback. Such systems are motivated by structural models for systemic…

This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank…