Related papers: Sequential Defaulting in Financial Networks
Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions. In this paper, we propose and systematically study deep neural networks-based algorithms to solve…
We discuss and analyze a neural network architecture, that enables learning a model class for a set of different data samples rather than just learning a single model for a specific data sample. In this sense, it may help to reduce the…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
In this paper, we evaluate and compare the performance of two approaches, namely self-stabilization and rollback, to handling consistency violating faults (\cvf) that occur when a self-stabilizing distributed graph-based program is executed…
The debts' clearing problem is about clearing all the debts in a group of n entities (persons, companies etc.) using a minimal number of money transaction operations. The problem is known to be NP-hard in the strong sense. As for many…
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…
In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…
In the sequential learning problem, agents in a network attempt to predict a binary ground truth, informed by both a noisy private signal and the predictions of neighboring agents before them. It is well known that social learning in this…
To understand how certain dynamical behaviors can or cannot persist as the underlying network grows is a problem of increasing importance in complex dynamical systems as well as sustainability science and engineering. We address the…
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection…
We consider a stochastic, dynamic job scheduling problem, formulated as a queueing control problem, in which a single server processes jobs of different types that arrive according to independent Poisson processes. The problem is defined on…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
In recent years, neural networks have demonstrated an outstanding ability to achieve complex learning tasks across various domains. However, they suffer from the "catastrophic forgetting" problem when they face a sequence of learning tasks,…
A minority process in a weighted graph is a dynamically changing coloring. Each node repeatedly changes its color in order to minimize the sum of weighted conflicts with its neighbors. We study the number of steps until such a process…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
Financial institutions obtain enormous amounts of data about user transactions and money transfers, which can be considered as a large graph dynamically changing in time. In this work, we focus on the task of predicting new interactions in…
We consider an approach to credit risk in which the information about the time of bankruptcy is modelled using a Brownian bridge that starts at zero and is conditioned to equal zero when the default occurs. This raises the question whether…
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…
Controlling the false discovery rate (FDR) is a powerful approach to multiple testing. In many applications, the tested hypotheses have an inherent hierarchical structure. In this paper, we focus on the fixed sequence structure where the…
Software-defined networking (SDN) enables advanced operation and management of network deployments through (virtually) centralised, programmable controllers, which deploy network functionality by installing rules in the flow tables of…