Related papers: Modelling China's Credit System with Complex Netwo…
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…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
Complex network theory aims to model and analyze complex systems that consist of multiple and interdependent components. Among all studies on complex networks, topological structure analysis is of the most fundamental importance, as it…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
Complex networks are an important paradigm of modern complex systems sciences which allows quantitatively assessing the structural properties of systems composed of different interacting entities. During the last years, intensive efforts…
Random networks are a powerful tool in the analytical modeling of complex networks as they allow us to write approximate mathematical models for diverse properties and behaviors of networks. One notable shortcoming of these models is that…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
Small and Medium-sized Enterprises (SMEs) are known to play a vital role in economic growth, employment, and innovation. However, they tend to face significant challenges in accessing credit due to limited financial histories, collateral…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
Since 2007, several contributions have tried to identify early-warning signals of the financial crisis. However, the vast majority of analyses has focused on financial systems and little theoretical work has been done on the economic…
We study the networks formed by the directors of the most important Swiss boards and the boards themselves for the year 2009. The networks are obtained by projection from the original bipartite graph. We highlight a number of important…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic…
Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
Network architecture design is very important for the optimization of industrial networks. The type of network architecture can be divided into small-scale network and large-scale network according to its scale. Graph theory is an efficient…
Data-driven analysis of complex networks has been in the focus of research for decades. An important area of research is to study how well real networks can be described with a small selection of metrics, furthermore how well network models…
The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…