Related papers: The Network Effect in Credit Concentration Risk
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Degree correlation is an important topological property common to many real-world networks. In this paper, the statistical measures for characterizing the degree correlation in networks are investigated analytically. We give an exact proof…
We consider the problem of risk diversification in complex networks. Nodes represent e.g. financial actors, whereas weighted links represent e.g. financial obligations (credits/debts). Each node has a risk to fail because of losses…
Whenever possible, the efficacy of a new treatment, such as a drug or behavioral intervention, is investigated by randomly assigning some individuals to a treatment condition and others to a control condition, and comparing the outcomes…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal…
This study presents a generalization for a method examining the correlation function of an arbitrary system with interactions in an Ising model to obtain a value of correlation between two arbitrary points on a network. The establishment of…
This paper investigates the case of interference, when a unit's treatment also affects other units' outcome. When interference is at work, policy evaluation mostly relies on the use of randomized experiments under cluster interference and…
A/B testing is a standard approach for evaluating the effect of online experiments; the goal is to estimate the `average treatment effect' of a new feature or condition by exposing a sample of the overall population to it. A drawback with…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes…
The recent high level of interest in weighted complex networks gives rise to a need to develop new measures and to generalize existing ones to take the weights of links into account. Here we focus on various generalizations of the…
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…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis.…
The network effect, wherein one user's activity impacts another user, is common in social network platforms. Many new features in social networks are specifically designed to create a network effect, enhancing user engagement. For instance,…
We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of…
Because of the non-uniformity of the electric power CPS network and the dynamic nature of the risk propagation process, it is difficult to quantify the critical point of a cyber risk explosion. From the perspective of the dependency…
We consider a causal inference model in which individuals interact in a social network and they may not comply with the assigned treatments. In particular, we suppose that the form of network interference is unknown to researchers. To…