Related papers: Risk in Network Economies
How do cost shocks pass through to prices in markets with price dispersion? We decompose the problem into two layers. In the competition layer, consumers' consideration sets determine equilibrium distributions of normalized margins. In the…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
Various kinds of spread of influence occur in real world social and virtual networks. These phenomena are formulated by activation processes and irreversible dynamic monopolies in combinatorial graphs representing the topology of the…
We characterize a comprehensive family of $d$-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…
Will a new smartphone application diffuse deeply in the population or will it sink into oblivion soon? To predict this, we argue that common models of spread of innovations based on cascade dynamics or epidemics may not be fully adequate.…
Over the past decade alternatives to traditional insurance and banking have grown in popularity. The desire to encourage local participation has lead products such as peer-to-peer insurance, reciprocal contracts, and decentralized finance…
Networked-guarantee loans may cause the systemic risk related concern of the government and banks in China. The prediction of default of enterprise loans is a typical extremely imbalanced prediction problem, and the networked-guarantee make…
We study spillover effects in corporate toxic emissions using a heterogeneous panel network of U.S. industrial facilities from 2000-2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly…
Although standard economics textbooks are seldom interested in production networks, modern economies are more and more based upon suppliers/customers interactions. One can consider entire sectors of the economy as generalised supply chains.…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
Many economic activities are embedded in networks: sets of agents and the (often) rivalrous relationships connecting them to one another. Input sourcing by firms, interbank lending, scientific research, and job search are four examples,…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to 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…
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…
Spreading (diffusion) of innovations is a stochastic process on social networks. When the key driving mechanism is peer effects (word of mouth), the rate at which the aggregate adoption level increases with time depends strongly on the…
This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First,…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
Large scale networks delineating collective dynamics often exhibit cascading failures across nodes leading to a system-wide collapse. Prominent examples of such phenomena would include collapse on financial and economic networks.…
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…