Related papers: Reciprocity in Interbank Markets
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…
Balanced and swap-robust minimal trades, introduced in [1], are important for studying the balance and stability of server access request protocols under data popularity changes. Constructions of such trades have so far relied on paired…
We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…
Network formation theory studies how agents create and maintain relationships, and the stability of those relationships with respect to individual incentives. A central stability concept in this literature is pairwise stability, introduced…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Random graphs are more and more used for modeling real world networks such as evolutionary networks of proteins. For this purpose we look at two different models and analyze how properties like connectedness and degree distributions are…
Most networks encountered in nature, society, and technology have weighted edges, representing the strength of the interaction/association between their vertices. Randomizing the structure of a network is a classic procedure used to…
We develop a statistical theory to characterize correlations in weighted networks. We define the appropriate metrics quantifying correlations and show that strictly uncorrelated weighted networks do not exist due to the presence of…
Transactions are an important aspect of human social life, and represent dynamic flow of information, intangible values, such as trust, as well as monetary and social capital. Although much research has been conducted on the nature of…
Assessing the statistical significance of network patterns is crucial for understanding whether such patterns indicate the presence of interesting network phenomena, or whether they simply result from less interesting processes, such as…
Many biological, ecological and economic systems are best described by weighted networks, as the nodes interact with each other with varying strength. However, most network models studied so far are binary, the link strength being either 0…
We consider a class of random, weighted networks, obtained through a redefinition of patterns in an Hopfield-like model and, by performing percolation processes, we get information about topology and resilience properties of the networks…
The power of networks manifests itself in a highly non-linear amplification of a number of effects, and their weakness - in propagation of cascading failures. The potential systemic risk effects can be either exacerbated or mitigated,…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions…
The centrality in a network is often used to measure nodes' importance and model network effects on a certain outcome. Empirical studies widely adopt a two-stage procedure, which first estimates the centrality from the observed noisy…
Structural balance in social network theory starts from signed networks with active relationships (friendly or hostile) to establish a hierarchy between four different types of triadic relationships. The lack of an active link also provides…
Randomising networks using a naive `accept-all' edge-swap algorithm is generally biased. Building on recent results for nondirected graphs, we construct an ergodic detailed balance Markov chain with non-trivial acceptance probabilities for…
This paper studies an interacting particle system of interest in econophysics inspired from a model introduced in the physics literature. The original model consists of the customers of a single bank characterized by their capital, and the…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…