Related papers: Sequential Defaulting in Financial Networks
Due to the policy-rich BGP, multiple stable forwarding states might exist for the same network topology and configuration, rendering the network convergence non-deterministic. This paper proves that any network with multiple converged…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
This paper studies the stabilization problem of networked control systems (NCSs) with random packet dropouts caused by stochastic channels. To describe the effects of stochastic channels on the information transmission, the transmission…
Now a days, data mining and knowledge discovery methods are applied to a variety of enterprise and engineering disciplines to uncover interesting patterns from databases. The study of Sequential patterns is an important data mining problem…
The reverse engineering problem with probabilities and sequential behavior is introducing here, using the expression of an algorithm. The solution is partially founded, because we solve the problem only if we have a Probabilistic Sequential…
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
This paper studies stochastic aperiodic stabilization of a networked control system (NCS) consisting of a continuous-time plant and a discrete-time controller. The plant and the controller are assumed to be connected by communication…
Information-theoretic arguments focus on modeling the reliability of information transmission, assuming availability of infinite data at sources, thus ignoring randomness in message generation times at the respective sources. However, in…
In sequential decision making, neural networks (NNs) are nowadays commonly used to represent and learn the agent's policy. This area of application has implied new software quality assessment challenges that traditional validation and…
The network calculus (NC) analysis takes a simple model consisting of a network of schedulers and data flows crossing them. A number of analysis "building blocks" can then be applied to capture the model without imposing pessimistic…
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
Microfinance, despite its significant potential for poverty reduction, is facing sustainability hardships due to high default rates. Although many methods in regular finance can estimate credit scores and default probabilities, these…
The behavior of the network and its stability are governed by both dynamics of individual nodes as well as their topological interconnections. Attention mechanism as an integral part of neural network models was initially designed for…
Motivated by cloud computing applications, we study the problem of how to optimally deploy new hardware subject to both power and robustness constraints. To model the situation observed in large-scale data centers, we introduce the Online…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
Consider the workload process for a single server queue with deterministic service times in which customers arrive according to a scheduled traffic process. A scheduled arrival sequence is one in which customers are scheduled to arrive at…
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…
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 instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…