Related papers: Credit Freezes, Equilibrium Multiplicity, and Opti…
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…
Valuing corporate bonds in systemic economies is challenging due to intricate webs of inter-institutional exposures. When a bank defaults, cascading losses propagate through the network, with payments determined by a system of fixed-point…
Multilayer networked systems are ubiquitous in nature and engineering, and the robustness of these systems against failures is of great interest. A main line of theoretical pursuit has been percolation induced cascading failures, where…
Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…
Synchronization, in which individual dynamical units keep in pace with each other in a decentralized fashion, depends both on the dynamical units and on the properties of the interaction network. Yet, the role played by the network has…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
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…
The functions of many networked systems in physics, biology or engineering rely on a coordinated or synchronized dynamics of its constituents. In power grids for example, all generators must synchronize and run at the same frequency and…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of…
The equilibrium properties of allocation algorithms for networks with a large number of nodes with finite capacity are investigated. Every node is receiving a flow of requests and when a request arrives at a saturated node, i.e. a node…
With the integration of renewable sources in electricity distribution networks, the need to develop intelligent mechanisms for balancing the energy market has arisen. In the absence of such mechanisms, the energy market may face imbalances…
The increased complexity of infrastructure systems has resulted in critical interdependencies between multiple networks---communication systems require electricity, while the normal functioning of the power grid relies on communication…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
Card payment fraud detection is usually framed as a supervised classification problem. Although this approach has generated practical progress, improvement has remained incremental despite major advances in model architecture. We argue that…
In this paper we investigate equilibria of continuous differential equation models of network dynamics. The motivation comes from gene regulatory networks where each directed edge represents either down- or up-regulation, and is modeled by…
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…
We study numerically the cascading failure problem by using artificially created scale-free networks and the real network structure of the power grid. The capacity for a vertex is assigned as a monotonically increasing function of the load…
We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the…
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…