Related papers: Spectral signatures of structural change in financ…
Economic and financial networks play a crucial role in various important processes, including economic integration, globalization, and financial crises. Of particular interest is understanding whether the temporal evolution of a real…
Economic integration, globalization and financial crises represent examples of processes whose understanding requires the analysis of the underlying network structure. Of particular interest is establishing whether a real economic network…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Many real-world complex networks contain a significant amount of structural redundancy, in which multiple vertices play identical topological roles. Such redundancy arises naturally from the simple growth processes which form and shape many…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
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…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks. Here we define a structural importance metric - which we denote as $l_e$ - for the edges of a network.…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
Traditional balance-of-payments (BoP) analysis treats national external positions as largely idiosyncratic time series. This misses an essential structural fact: global imbalances are jointly realized on a directed, weighted network of…
One of the hallmarks of real networks is their ability to perform increasingly complex tasks as their topology evolves. To explain this, it has been observed that as a network grows certain subsets of the network begin to specialize the…
Structural balance theory predicts that triads in networks gravitate towards stable configurations. The theory has been verified for undirected graphs. Since real-world networks are often directed, we introduce a novel method for…
Dynamical networks are powerful tools for modeling a broad range of complex systems, including financial markets, brains, and ecosystems. They encode how the basic elements (nodes) of these systems interact altogether (via links) and evolve…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…