Related papers: Limit Theorems for Default Contagion and Systemic …
Contagion processes are strongly linked to the network structures on which they propagate, and learning these structures is essential for understanding and intervention on complex network processes such as epidemics and (mis)information…
In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk, this "skeleton" acts as the medium through which financial…
This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase…
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
We investigate the credit risk model defined in Hatchett & K\"{u}hn under more general assumptions, in particular using a general degree distribution for sparse graphs. Expanding upon earlier results, we show that the model is exactly…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
In this paper, we study cascading failures in power grids through the lens of information diffusion models. Similar to the spread of rumors or influence in an online social network, it has been observed that failures (outages) in a power…
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
Suppose that under the action of gravity, liquid drains through the unit $d$-cube via a minimal-length network of channels constrained to pass through random sites and to flow with nonnegative component in one of the canonical orthogonal…
In this paper we consider non-atomic games in populations that are provided with a choice of preventive policies to act against a contagion spreading amongst interacting populations, be it biological organisms or connected computing…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is an important step for financial institutions when making decisions about loans. Existing studies in both finance and AI research fields, however, tend to only…
We introduce a family of particle systems on sparse graphs where local interactions occur via hitting times, providing a dynamic and tractable model for default cascades in large sparsely-connected financial networks. Building on the…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
Information and individual activities often spread globally through the network of social ties. While social contagion phenomena have been extensively studied within the framework of threshold models, it is common to make an assumption that…
Complex contagions describe systems where the probability or rate of contagious transmission is a nonlinear function of the exposure to contagious agents. These models were first studied theoretically but have since been used to capture…