Related papers: Cascading Failures in the Global Financial System:…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
Cascading failures are a common phenomenon in complex networked systems where failures at only a few nodes may trigger a process of sequential failure. We applied a flow redistribution model to investigate the robustness against cascading…
In studies on complex network systems using graph theory, eigen-analysis is typically performed on an undirected graph model of the network. However, when analyzing cascading failures in a power system, the interactions among failures…
Cascading failures represent a fundamental threat to the integrity of complex systems, often precipitating a comprehensive collapse across diverse infrastructures and financial networks. This research articulates a robust and pragmatic…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…
We undertake a fundamental study of network equilibria modeled as solutions of fixed point equations for monotone linear functions with saturation nonlinearities. The considered model extends one originally proposed to study systemic risk…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
Cascading failures (CF) entail component breakdowns spreading through infrastructure networks, causing system-wide collapse. Predicting CFs is of great importance for infrastructure stability and urban function. Despite extensive research…
For large-scale power networks, the failure of particular transmission lines can offload power to other lines and cause self-protection trips to activate, instigating a cascade of line failures. In extreme cases, this can bring down the…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…
Interconnected agents such as firms in a supply chain make simultaneous preparatory investments to increase chances of honouring their respective bilateral agreements. Failures cascade: if one fails their agreement, then so do all who…
Modern networks are becoming increasingly interdependent. As a prominent example, the smart grid is an electrical grid controlled through a communications network, which in turn is powered by the electrical grid. Such interdependencies…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
Internet finance is a new financial model that applies Internet technology to payment, capital borrowing and lending and transaction processing. In order to study the internal risks, this paper uses the Internet financial risk elements as…