Related papers: Systemic risk assessment through high order cluste…
In this paper, we provide novel definitions of clustering coefficient for weighted and directed multilayer networks. We extend in the multilayer theoretical context the clustering coefficients proposed in the literature for weighted…
Measuring graph clustering quality remains an open problem. To address it, we introduce quality measures based on comparisons of intra- and inter-cluster densities, an accompanying statistical test of the significance of their differences…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
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…
Systemic risk refers to the overall vulnerability arising from the high degree of interconnectedness and interdependence within the financial system. In the rapidly developing decentralized finance (DeFi) ecosystem, numerous studies have…
We show that the clustering coefficient, a standard measure in network theory, when applied to flow networks, i.e. graph representations of fluid flows in which links between nodes represent fluid transport between spatial regions,…
Clustering is typically measured by the ratio of triangles to all triples, open or closed. Generating clustered networks, and how clustering affects dynamics on networks, is reasonably well understood for certain classes of networks…
Modern society heavily relies on strongly connected, socio-technical systems. As a result, distinct risks threatening the operation of individual systems can no longer be treated in isolation. Consequently, risk experts are actively seeking…
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…
In recent years, community structure has emerged as a key component of complex network analysis. As more data has been collected, researchers have begun investigating changing community structure across multiple networks. Several methods…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
We show that modularity, a quantity introduced in the study of networked systems, can be generalized and used in the clustering problem as an indicator for the quality of the solution. The introduction of this measure arises very naturally…
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
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…
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
The purpose of this paper is to assess the statistical characterization of weighted networks in terms of the generalization of the relevant parameters, namely average path length, degree distribution and clustering coefficient. Although the…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
This paper introduces a novel approach of clustering, which is based on group consensus of dynamic linear high-order multi-agent systems. The graph topology is associated with a selected multi-agent system, with each agent corresponding to…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…