Related papers: Clearing Payments in Dynamic Financial Networks
In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We develop a parsimonious model of an e-commerce fulfillment center that offers time-dependent shipment options and corresponding fees to utility-maximizing customers arriving according to a Poisson process. For any such policy, we provide…
The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system-wide stability is not well understood. We…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the…
Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like hedging. To address these limitations, we have developed a…
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…
We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control its terminal wealth (e.g. at the end of an accounting period)…
We study the problem of clustering networks whose nodes have imputed or physical positions in a single dimension, for example prestige hierarchies or the similarity dimension of hyperbolic embeddings. Existing algorithms, such as the…
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main…
In this paper, we focus on the problem of data sharing over a wireless computer network (i.e., a wireless grid). Given a set of available data, we present a distributed algorithm which operates over a dynamically changing network, and…
We take a game theoretical approach to determine necessary and sufficient conditions under which we can persuade rational agents to exchange messages in pairwise exchanges over links of a dynamic network, by holding them accountable for…
The problem of resource allocation of nonlinear networked control systems is investigated, where, unlike the well discussed case of triggering for stability, the objective is optimal triggering. An approximate dynamic programming approach…
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…
Dynamic neural networks are a recent technique that promises a remedy for the increasing size of modern deep learning models by dynamically adapting their computational cost to the difficulty of the inputs. In this way, the model can adjust…