Related papers: Cascading Failures in the Global Financial System:…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
We study cascading failures in a system comprising interdependent networks/systems, in which nodes rely on other nodes both in the same system and in other systems to perform their function. The (inter-)dependence among nodes is modeled…
Robustness and cascading failures in interdependent systems has been an active research field in the past decade. However, most existing works use percolation-based models where only the largest component of each network remains functional…
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial…
We use machine learning tools to model the line interaction of failure cascading in power grid networks. We first collect data sets of simulated trajectories of possible consecutive line failure following an initial random failure and…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer…
Reliable functioning of infrastructure networks is essential for our modern society. Cascading failures are the cause of most large-scale network outages. Although cascading failures often exhibit dynamical transients, the modeling of…
The functionality of an entity frequently necessitates the support of a group situated in another layer of the system. To unravel the profound impact of such group support on a system's resilience against cascading failures, we devise a…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
Cascading failures and epidemic dynamics, as two successful application realms of network science, are usually investigated separately. How do they affect each other is still one open, interesting problem. In this letter, we couple both…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
Physical infrastructure systems supply crucial resources to residential, commercial, and industrial activities. These infrastructure systems generally consist of multiple types of infrastructure assets that are interdependent. In the event…
Many real-world complex systems across natural, social, and economical domains consist of manifold layers to form multiplex networks. The multiple network layers give rise to nonlinear effect for the emergent dynamics of systems.…
Achieving safety is a critical aspect of attaining autonomy in a platoon of autonomous vehicles. In this paper, we propose a distributionally robust risk framework to investigate cascading failures in platoons. To examine the impact of…
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…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
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…
Causal inference provides an analytical framework to identify and quantify cause-and-effect relationships among a network of interacting agents. This paper offers a novel framework for analyzing cascading failures in power transmission…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…