Related papers: Interbank network reconstruction enforcing density…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Given a set of snapshots from a temporal network we develop, analyze, and experimentally validate a so-called network interpolation scheme. Our method allows us to build a plausible, albeit random, sequence of graphs that transition between…
Reconstructing network connectivity from the collective dynamics of a system typically requires access to its complete continuous-time evolution although these are often experimentally inaccessible. Here we propose a theory for revealing…
In discrete-time dynamics, it is frequently assumed that the transition probabilities (e.g., the recovery probability) are independent of the network structure. However, there is a lack of empirical evidence to support this claim in large…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
Network renormalization has traditionally relied on spatial adjacency-grouping nearby nodes together, but this approach fails to capture the dynamical correlations that govern system-wide behavior in scale-free networks. We present a…
Reciprocity in social networks helps understand information exchange between two individuals, and indicates interaction patterns between pairs of users. A recent study indicates the reciprocity coefficient of a classical directed…
Over the last few years, network science has proved to be useful in modeling a variety of complex systems, composed of a large number of interconnected units. The intricate pattern of interactions often allows the system to achieve complex…
Links in most real networks often change over time. Such temporality of links encodes the ordering and causality of interactions between nodes and has a profound effect on network dynamics and function. Empirical evidences have shown that…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…
The characterization of various properties of real-world systems requires the knowledge of the underlying network of connections among the system's components. Unfortunately, in many situations the complete topology of this network is…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
Time plays an essential role in the diffusion of information, influence and disease over networks. In many cases we only observe when a node copies information, makes a decision or becomes infected -- but the connectivity, transmission…
Reciprocity is a second-order correlation that has been recently detected in all real directed networks and shown to have a crucial effect on the dynamical processes taking place on them. However, no current theoretical model generates…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…