Related papers: A framework for simulating systemic risk and its a…

The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…

The power of networks manifests itself in a highly non-linear amplification of a number of effects, and their weakness - in propagation of cascading failures. The potential systemic risk effects can be either exacerbated or mitigated,…

We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…

In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…

The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…

Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…

In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…

We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…

This work proposes a theoretical framework using a systemic modeling paradigm to implement computational agents in the simulation of organizations. The potential of its use is demonstrated in the modeling of supply chains. Finally, research…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…

With the advancement of computational network science, its research scope has significantly expanded beyond static graphs to encompass more complex structures. The introduction of streaming, temporal, multilayer, and hypernetwork approaches…

For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…

In this paper we present a new simulation model designed to evaluate the dependability in distributed systems. This model extends the MONARC simulation model with new capabilities for capturing reliability, safety, availability, security,…

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…

We present a framework for simulating signal propagation in geometric networks (i.e. networks that can be mapped to geometric graphs in some space) and for developing algorithms that estimate (i.e. map) the state and functional topology of…

Bank crisis is challenging to define but can be manifested through bank contagion. This study presents a comprehensive framework grounded in nonlinear time series analysis to identify potential early warning signals (EWS) for impending…

Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The…

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…

Mathematical modeling of epidemic propagation on networks is extended to hypergraphs in order to account for both the community structure and the nonlinear dependence of the infection pressure on the number of infected neighbours. The exact…