Related papers: Linkages and systemic risk in the European insuran…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…

In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…

Elastomers that can sustain large reversible strain are essential components for stretchable electronics. The stretchability and mechanical robustness of unfilled elastomers can be enhanced by introducing easier-to-break cross-links, e.g.…

Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…

Recent years have witnessed a surge of biological interest in the minimum spanning tree (MST) problem for its relevance to automatic model construction using the distances between data points. Despite the increasing use of MST algorithms…

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…

The ability to adequately model risks is crucial for insurance companies. The method of "Copula-based hierarchical risk aggregation" by Arbenz et al. offers a flexible way in doing so and has attracted much attention recently. We briefly…

In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…

In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered:…

The electric power grid is a critical societal resource connecting multiple infrastructural domains such as agriculture, transportation, and manufacturing. The electrical grid as an infrastructure is shaped by human activity and public…

--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset…

Intra-firm trade describes the trade between affiliated firms and is increasingly important as global production is fragmented. However, statistics and data on global intra-firm trade patterns are widely unavailable. This study proposes a…

We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy. We tackle the task to visualize the evolution of risk,…

The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…

We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large…

We consider a nonlinear dynamical system on a signed graph, which can be interpreted as a mathematical model of social networks in which the links can have both positive and negative connotations. In accordance with a concept from social…

We study synchronization dynamics in networks of coupled oscillators with bimodal distribution of natural frequencies. This setup can be interpreted as a simple model of frequency synchronization dynamics among generators and loads working…

Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…