Related papers: Empirical facts characterizing banking crises: an …
Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial…
During 1993-94 Venezuela experienced a severe banking crisis which ended up with 18 commercial banks intervened by the government. Here we develop an early warning system for detecting credit related bankruptcy through discriminant…
In the wake of the 2008 financial crisis the role of strongly interconnected markets in fostering systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to deleterious cascades of supply…
Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The properties of food trade networks are…
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…
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…
We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271--2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks as innovations explaining the largest share of future output…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a…
Mathematical models have been used to understand the spread patterns of infectious diseases such as Coronavirus Disease 2019 (COVID-19). The transmission component of the models can be modelled in an age-dependent manner via introducing…
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…
The 2008 economic crisis was not forecastable by at that time existing models of macroeconomics. Thus macroeconomics needs new tools. We introduce a model based on National Accounts that shows how macroeconomic sectors are interconnected.…
This summarizes the study of the financial and economic crisis in Europe. The starting questions were: 1) Why do we have a crisis? Unde venis? 2) What will be the outcome? Quo vadis? Here is the reasoning which touches many areas, ranging…
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
This paper investigates some indicators of financial development in select countries with currency board systems and raises some questions about the connection between financial development and growth in currency board systems. Most of…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…