Related papers: Contagion on Financial Networks: An Introduction

This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…

We consider weighted directed networks for analysing, over the period 2000-2013, the interdependencies between volatilities of a large panel of stocks belonging to the S\&P100 index. In particular, we focus on the so-called {\it Long-Run…

Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…

We embrace a fresh perspective to auditing by analyzing a large set of companies as complex financial networks rather than static aggregates of balance sheet data. Preliminary analyses show that network centrality measures within these…

This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using…

Scale-free networks are a recently developed approach to model the interactions found in complex natural and man-made systems. Such networks exhibit a power-law distribution of node link (degree) frequencies n(k) in which a small number of…

Modeling and analyzing security of networked systems is an important problem in the emerging Science of Security and has been under active investigation. In this paper, we propose a new approach towards tackling the problem. Our approach is…

To a large extent, the systemic importance of financial institutions is related to the topology of financial liability networks. In this work we reconstruct and analyze the - to our knowledge - largest financial network that has been…

The random graph of Erdos and Renyi is one of the oldest and best studied models of a network, and possesses the considerable advantage of being exactly solvable for many of its average properties. However, as a model of real-world networks…

We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…

Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…

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…

The prediction of both the existence and weight of network links at future time points is essential as complex networks evolve over time. Traditional methods, such as vector autoregression and factor models, have been applied to small,…

We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a…

A central concern of network operators is to estimate the probability of an incident that affects a significant part and thus may yield to a breakdown. We answer this question by modeling how a failure of either a node or an edge will…

Network analysis has become an increasingly prevalent research tool across a vast range of scientific fields. Here, we focus on the particular issue of comparing network statistics, i.e. graph-level measures of network structural features,…

Digital banking and online communication have made modern bank runs faster and more networked than the canonical queue-at-the-branch setting. While equilibrium models explain why strategic complementarities generate run risk, they offer…

Employee turnover is a critical challenge in financial markets, yet little is known about the role of professional networks in shaping career moves. Using the Hong Kong Securities and Futures Commission (SFC) public register (2007-2024), we…

We live in a modern world supported by large, complex networks. Examples range from financial markets to communication and transportation systems. In many realistic situations the flow of physical quantities in the network, as characterized…

Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…