Related papers: Decomposing Global Bank Network Connectedness: Wha…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
This paper presents a novel approach to handle the computational complexity in security-constrained unit commitment (SCUC) with corrective network reconfiguration (CNR) to harness the flexibility in transmission networks. This is achieved…
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
We show that, for independent interfering sources and a signal link with exponentially distributed received power, the total probability of outage can be decomposed as a simple expression of the outages from the individual interfering…
We investigate the emergence of synchronization in a network of coupled chaotic macroeconomic systems. Each node represents an economy characterized by three key variables savings, gross domestic product (GDP), and foreign capital inflows.…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
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…
Random networks are a powerful tool in the analytical modeling of complex networks as they allow us to write approximate mathematical models for diverse properties and behaviors of networks. One notable shortcoming of these models is that…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
A stream of unstructured news can be a valuable source of hidden relations between different entities, such as financial institutions, countries, or persons. We present an approach to continuously collect online news, recognize relevant…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static…
Wireless networked control systems (WNCS) are composed of spatially distributed sensors, actuators, and con- trollers communicating through wireless networks instead of conventional point-to-point wired connections. Due to their main…
In this paper, we study detection and fast reconstruction of the celebrated Watts-Strogatz (WS) small-world random graph model \citep{watts1998collective} which aims to describe real-world complex networks that exhibit both high clustering…
The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis.…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…
During major power system disturbances, when multiple component outages occur in rapid succession, it becomes crucial to quickly identify the transmission interconnections that have limited power transfer capability. Understanding the…
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…