Related papers: Controlling systemic risk - network structures tha…
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…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
We investigate the role of degree correlation among nodes on the stability of complex networks, by studying spectral properties of randomly weighted matrices constructed from directed Erd\"{o}s-R\'enyi and scale-free random graph models. We…
Interconnected networks describe the dynamics of important systems in a wide range such as biological systems and electrical power grids. Some important features of these systems were successfully studied and understood through simplified…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
A network is said to show assortative mixing if the nodes in the network that have many connections tend to be connected to other nodes with many connections. We define a measure of assortative mixing for networks and use it to show that…
Modelling systems with networks has been a powerful approach to tame the complexity of several phenomena. Unfortunately, such an approach is often made difficult by the large number of variables to take into consideration. Methods of…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Many critical infrastructure systems have network structure and are under stress. Despite their national importance, the complexity of large-scale transport networks means we do not fully understand their vulnerabilities to cascade…
Network reliability is the probability that a dynamical system composed of discrete elements interacting on a network will be found in a configuration that satisfies a particular property. We introduce a new reliability property, Ising…
By analysing the diffusive dynamics of epidemics and of distress in complex networks, we study the effect of the assortativity on the robustness of the networks. We first determine by spectral analysis the thresholds above which…
Several networks occurring in real life have modular structures that are arranged in an hierarchical fashion. In this paper, we have proposed a model for such networks, using a stochastic generation method. Using this model we show that,…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…
We suggest an approach to study hierarchy, especially hidden one, of complex networks based on the analysis of their vulnerability. Two quantities are proposed as a measure of network hierarchy. The first one is the system vulnerability V.…
Assortative mixing in networks is the tendency for nodes with the same attributes, or metadata, to link to each other. It is a property often found in social networks manifesting as a higher tendency of links occurring between people with…
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial…
A growing number of systems are represented as networks whose architecture conveys significant information and determines many of their properties. Examples of network architecture include modular, bipartite, and core-periphery structures.…