Related papers: Limit Theorems for Default Contagion and Systemic …
The problem of cascading failures in cyber-physical systems is drawing much attention in lieu of different network models for a diverse range of applications. While many analytic results have been reported for the case of large networks,…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide…
Message-passing methods provide a powerful approach for calculating the expected size of cascades either on random networks (e.g., drawn from a configuration-model ensemble or its generalizations) asymptotically as the number $N$ of nodes…
We study large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system…
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual-excitation effect. The…
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
How big is the risk that a few initial failures of networked nodes amplify to large cascades that endanger the functioning of the system? Common answers refer to the average final cascade size. Two analytic approaches allow its computation:…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
We investigate critical behaviors of a social contagion model on weighted networks. An edge-weight compartmental approach is applied to analyze the weighted social contagion on strongly heterogenous networks with skewed degree and weight…
The threshold model is a simple but classic model of contagion spreading in complex social systems. To capture the complex nature of social influencing we investigate numerically and analytically the transition in the behavior of…
We analyze the Bass and SI models for the spreading of innovations and epidemics, respectively, on homogeneous complete networks, circular networks, and heterogeneous complete networks with two homogeneous groups. We allow the network…
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation,…
A new class of probabilistic models for cascading failure propagation in interconnected systems is proposed. The models take into account important characteristics of real systems that are not considered in existing generic approaches.…
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for…
We study a family of binary state, socially-inspired contagion models which incorporate imitation limited by an aversion to complete conformity. We uncover rich behavior in our models whether operating with either probabilistic or…
We introduce a new method for proving the convergence and the rate of convergence of discrete Bass models on various networks to their respective compartmental Bass models, as the population size $M$ becomes infinite. In this method, the…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
We study inhomogeneous random graphs with a finite type space. For a natural generalization of the model as a dynamic network-valued process, the paper establishes the following results: (a) Functional central limit theorems for the…
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…