Related papers: Systemic Risk and the Dependence Structures

Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also…

We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…

We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…

We develope the framework of transitional conditional independence. For this we introduce transition probability spaces and transitional random variables. These constructions will generalize, strengthen and unify previous notions of…

A discrete time stochastic model for a multiagent system given in terms of a large collection of interacting Markov chains is studied. The evolution of the interacting particles is described through a time inhomogeneous transition…

Structural independence is the (conditional) independence that arises from the structure rather than the precise numerical values of a distribution. We develop this concept and relate it to $d$-separation and structural causal models.…

Positive dependencies have been compared in the literature under rather strong assumptions such as equality of conditional distributions, exchangeability, or stationarity. We establish supermodular ordering results for distributions that…

Recent studies have investigated various dynamic processes characterizing collective behaviors in real-world systems. However, these dynamics have been studied individually in specific contexts. In this article, we present a holistic…

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…

With graphical Markov models, one can investigate complex dependences, summarize some results of statistical analyses with graphs and use these graphs to understand implications of well-fitting models. The models have a rich history and…

Many systems across the sciences evolve through a combination of multiplicative growth and diffusive transport. In the presence of disorder, these systems tend to form localized structures which alternate between long periods of relative…

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…

We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…

Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…

We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…

Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting…

Many socio-economic systems require positive economic growth rates to function properly. Given uncertainty about future growth rates and increasing evidence that economic growth is a driver of social and environmental crises, these growth…

This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and…

Societies change through time, entailing changes in behaviors and institutions. We ask how social change occurs when behaviors and institutions are interdependent. We model a group-structured society in which the transmission of individual…

This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…