Related papers: Linkages and systemic risk in the European insuran…
The relationship between network topology and system dynamics has significant implications for unifying our understanding of the interplay among metabolic, gene-regulatory, and ecosystem network architecures. Here we analyze the stability…
Disease awareness in infection dynamics can be modeled with adaptive contact networks whose rewiring rules reflect the attempt by susceptibles to avoid infectious contacts. Simulations of this type of models show an active phase with…
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow generalized exponential mixture…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
The competition between local and global driving forces is significant in a wide variety of naturally occurring branched networks. We have investigated the impact of a global minimization criterion versus a local one on the structure of…
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
Many economic activities are embedded in networks: sets of agents and the (often) rivalrous relationships connecting them to one another. Input sourcing by firms, interbank lending, scientific research, and job search are four examples,…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
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…
Despite the knowledge that social, economical, and ecological networks are often of a small-world nature with inter-nodal distance growing even slower than logarithmically with system size, we often assume theoretical systems to be outside…
Financial crises often occur without warning, yet markets leading up to these events display increasing volatility and complex interdependencies across multiple sectors. This study proposes a novel approach to predicting market crises by…
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable selection techniques with dynamic network analysis. The…
This paper presents a new approach for trees-based regression, such as simple regression tree, random forest and gradient boosting, in settings involving correlated data. We show the problems that arise when implementing standard…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
In multivariate data analysis, it is often important to estimate a graph characterizing dependence among (p) variables. A popular strategy uses the non-zero entries in a (p\times p) covariance or precision matrix, typically requiring…
The dynamics of systems of interacting agents is determined by the structure of their coupling network. The knowledge of the latter is, therefore, highly desirable, for instance, to develop efficient control schemes, to accurately predict…