Related papers: Understanding Financial Contagion: A Complexity Mo…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The…
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…
We present derivations of the contagion condition for a range of spreading mechanisms on families of generalized random networks and bipartite random networks. We show how the contagion condition can be broken into three elements, two…
This article offers a brief overview of the current research topics concerning strategies to mitigate the adverse effects of perturbations in complex networks. It addresses the issue of an unclear use of Robustness and Resilience…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
The rate of adoption of new information depends on reinforcement from multiple sources in a way that often cannot be described by simple contagion processes. In such cases, contagion is said to be complex. Complex contagion happens in the…
One 'problem' with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, markets, national economies). This…
Complex networks describe a wide range of systems in nature and society, much quoted examples including the cell, a network of chemicals linked by chemical reactions, or the Internet, a network of routers and computers connected by physical…
Many network contagion processes are inherently multiplex in nature, yet are often reduced to processes on uniplex networks in analytic practice. We therefore examine how data modeling choices can affect the predictions of contagion…
We briefly review the well-known risks, weaknesses and limitations of spreadsheets and then introduce some more. We review and slightly extend our previous work on the importance and criticality of spreadsheets in the City of London,…
The compartmental models used to study epidemic spreading often assume the same susceptibility for all individuals, and are therefore, agnostic about the effects that differences in susceptibility can have on epidemic spreading. Here we…
This paper develops a continuous functional framework for analyzing contagion dynamics in financial networks, extending the Navier-Stokes-based approach to network-structured spatial processes. We model financial distress propagation as a…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
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…
Complex networks are universal, arising in fields as disparate as sociology, physics, and biology. In the past decade, extensive research into the properties and behaviors of complex systems has uncovered surprising commonalities among the…
Random links between otherwise distant nodes can greatly facilitate the propagation of disease or information, provided contagion can be transmitted by a single active node. However we show that when the propagation requires simultaneous…