Related papers: Quantitative, Data-driven Network Model for Global…
The increasing complexity of cascading risks in urban systems necessitates robust, data-driven frameworks to model interdependencies across multiple domains. This study presents a foundational Bayesian network-based approach for analyzing…
In our daily lives, we rely on the proper functioning of supply networks, from power grids to water transmission systems. A single failure in these critical infrastructures can lead to a complete collapse through a cascading failure…
An effective way to suppress the cascading failure risk is the branch capacity upgrade, whose optimal decision making, however, may incur high computational burden. A practical way is to find out some critical branches as the candidates in…
The functionality of an entity frequently necessitates the support of a group situated in another layer of the system. To unravel the profound impact of such group support on a system's resilience against cascading failures, we devise a…
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…
Robustness and cascading failures in interdependent systems has been an active research field in the past decade. However, most existing works use percolation-based models where only the largest component of each network remains functional…
Critical infrastructure networks--including transportation, power grids, and communication systems--exhibit complex interdependencies that can lead to cascading failures with catastrophic consequences. These disasters often originate from…
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…
We model the spreading of a crisis by constructing a global economic network and applying the Susceptible-Infected-Recovered (SIR) epidemic model with a variable probability of infection. The probability of infection depends on the strength…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…
The insufficient understanding of the credit network structure was recognized as a key factor for regulators' underestimation of the destructive systematic risk during the financial crisis that started in 2007. The existing credit network…
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…
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
Epidemic spreading and cascading failure are two important dynamical processes over complex networks. They have been investigated separately for a long history. But in the real world, these two dynamics sometimes may interact with each…
In a cascading power transmission outage, component outages propagate non-locally, after one component outages, the next failure may be very distant, both topologically and geographically. As a result, simple models of topological contagion…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
This paper develops a continuous framework for analyzing financial contagion that incorporates both geographic proximity and interbank network linkages. The framework characterizes stress propagation through a master equation whose solution…
Whereas traditional credit scoring tends to employ only individual borrower- or loan-level predictors, it has been acknowledged for some time that connections between borrowers may result in default risk propagating over a network. In this…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…