Related papers: Sequential Defaulting in Financial Networks
Efficient computability is an important property of solution concepts in matching markets. We consider the computational complexity of finding and verifying various solution concepts in trading networks-multi-sided matching markets with…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network…
The software-defined networking paradigm introduces interesting opportunities to operate networks in a more flexible, optimized, yet formally verifiable manner. Despite the logically centralized control, however, a Software-Defined Network…
Motivated by timeouts in Internet services, we consider networks of infinite server queues in which routing decisions are based on deadlines. Specifically, at each node in the network, the total service time equals the minimum of several…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
Stability is a fundamental property of dynamical systems, yet to this date it has had little bearing on the practice of recurrent neural networks. In this work, we conduct a thorough investigation of stable recurrent models. Theoretically,…
In this paper, we present a condition to obtain instability for a class of queueing networks where the arrival rates in each server are constant and the departure rate in each server is a decreasing function of the queue lengths of other…
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is…
Concurrent accesses to databases are typically encapsulated in transactions in order to enable isolation from other concurrent computations and resilience to failures. Modern databases provide transactions with various semantics…
Bankruptcy is a legal procedure that claims a person or organization as a debtor. It is essential to ascertain the risk of bankruptcy at initial stages to prevent financial losses. In this perspective, different soft computing techniques…
In this paper, we mainly investigate an integrated system operating under a software defined network (SDN) protocol. SDN is a new networking paradigm in which network intelligence is centrally administered and data is communicated via…
In this paper we first study the fixed-time stabilizability of discrete-time switched linear control systems. Using a geometric approach, we derive conditions under which such systems can be stabilized within a prescribed number of steps,…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
A snap-stabilizing protocol, starting from any configuration, always behaves according to its specification. In this paper, we present a snap-stabilizing protocol to solve the message forwarding problem in a message-switched network. In…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
Recent control trends are increasingly relying on communication networks and wireless channels to close the loop for Internet-of-Things applications. Traditionally these approaches are model-based, i.e., assuming a network or channel model…