Related papers: Cyber risk modeling using a two-phase Hawkes proce…
Epidemic models and self-exciting processes are two types of models used to describe diffusion phenomena online and offline. These models were originally developed in different scientific communities, and their commonalities are…
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…
In a randomized study, leveraging covariates related to the outcome (e.g. disease status) may produce less variable estimates of the effect of exposure. For contagion processes operating on a contact network, transmission can only occur…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
Though the studies of social contagions are regularly borrowing network models to study the propagation of social influences and opinions to include social heterogeneity. Such studies provide valuable insights regarding these, but the…
Cyber insurance is a complementary mechanism to further reduce the financial impact on the systems after their effort in defending against cyber attacks and implementing resilience mechanism to maintain the system-level operator even though…
Empirical evidence reveals that contagion processes often occur with competition of simple and complex contagion, meaning that while some agents follow simple contagion, others follow complex contagion. Simple contagion refers to spreading…
Despite the fact that cyberattacks are constantly growing in complexity, the research community still lacks effective tools to easily monitor and understand them. In particular, there is a need for techniques that are able to not only track…
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…
Based on classical contagion models we introduce an artificial cyber lab: the digital twin of a complex cyber system in which possible cyber resilience measures may be implemented and tested. Using the lab, in numerical case studies, we…
Cyberattacks have prominently increased over the past few years now, and have targeted actors from a wide variety of domains. Understanding the motivation, infrastructure, attack vectors, etc. behind such attacks is vital to proactively…
As cyber attacks have become more frequent, cyber insurance premiums have increased, resulting in the need for better modeling of cyber risk. Toward this direction, Jevti\'{c} and Lanchier (2020) proposed a dynamic structural model of…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
As the primary mechanism of digital authentication, user-created passwords exhibit common patterns and regularities that can be learned from leaked datasets. Password choices are profoundly shaped by external factors, including social…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…