Related papers: Linkages and systemic risk in the European insuran…
The peer-to-peer (P2P) economy has been growing with the advent of the Internet, with well known brands such as Uber or Airbnb being examples thereof. In the insurance sector the approach is still in its infancy, but some companies have…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
We study the relation between the minimal spanning tree (MST) on many random points and the "near-minimal" tree which is optimal subject to the constraint that a proportion $\delta$ of its edges must be different from those of the MST.…
Over the past decade alternatives to traditional insurance and banking have grown in popularity. The desire to encourage local participation has lead products such as peer-to-peer insurance, reciprocal contracts, and decentralized finance…
By studying varies dynamical processes, including coupled maps, cellular automata and coupled differential equations, on five different kinds of known networks, we found a positive relation between signal correlation and node's degree. Thus…
We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some…
Spillover of economic outcomes often arises over multiple networks, and distinguishing their separate roles is important in empirical research. For example, the direction of spillover between two groups (such as banks and industrial sectors…
This research presents a novel Discrete Event Simulation (DES) of the Lloyd's of London specialty insurance market, exploring complex market dynamics that have not been previously studied quantitatively. The proof-of-concept model allows…
This chapter discusses the interplay between structure and dynamics in complex networks. Given a particular network with an endowed dynamics, our goal is to find partitions aligned with the dynamical process acting on top of the network. We…
We study a generic family of nonlinear dynamics on undirected networks generalising linear consensus. We find a compact expression for its equilibrium points in terms of the topology of the network and classify their stability using the…
This paper studies constructive heuristics for the minimum labelling spanning tree (MLST) problem. The purpose is to find a spanning tree that uses edges that are as similar as possible. Given an undirected labeled connected graph (i.e.,…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to…
Network theory provides various tools for investigating the structural or functional topology of many complex systems found in nature, technology and society. Nevertheless, it has recently been realised that a considerable number of systems…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
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…