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Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…

We study the collective dynamics of strongly diffusively coupled excitable elements on small random tree networks. Stochastic external inputs are applied to the leaves causing large spiking events. Those events propagate along the tree…

In discrete-time dynamics, it is frequently assumed that the transition probabilities (e.g., the recovery probability) are independent of the network structure. However, there is a lack of empirical evidence to support this claim in large…

The matrices of spanning rooted forests are studied as a tool for analysing the structure of networks and measuring their properties. The problems of revealing the basic bicomponents, measuring vertex proximity, and ranking from preference…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

While interdependent systems have usually been associated with increased fragility, we show that strengthening the interdependence between dynamical processes on different networks can make them more robust. By coupling the dynamics of…

The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…

The random matrix theory is used to bridge the network structures and the dynamical processes defined on them. We propose a possible dynamical mechanism for the enhancement effect of network structures on synchronization processes, based…

Various company interactions can be described by networks, for instance the ownership networks and the board membership networks. To understand the ecosystem of companies, these interactions cannot be seen in isolation. For this purpose we…

We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the…

The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build…

Dynamic networks consist of interconnected dynamical systems. The subsystems can be viewed as transformations of input signals into output signals, where signals flow from one system into another through interconnections. The signal flows…

Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…

The log-Lindley distribution was recently introduced in the literature as a viable alternative to the Beta distribution. This distribution has a simple structure and possesses useful theoretical properties relevant in insurance. Classical…

With the availability of massive amounts of data from electronic health records and registry databases, incorporating time-varying patient information to improve risk prediction has attracted great attention. To exploit the growing amount…

Network reliability is the probability that a dynamical system composed of discrete elements interacting on a network will be found in a configuration that satisfies a particular property. We introduce a new reliability property, Ising…

The recent discovery of universal principles underlying many complex networks occurring across a wide range of length scales in the biological world has spurred physicists in trying to understand such features using techniques from…

Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of…

Links in many real-world networks activate and deactivate in correspondence to the sporadic interactions between the elements of the system. The activation patterns may be irregular or bursty and play an important role on the dynamics of…

Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…