Related papers: Understanding Financial Contagion: A Complexity Mo…
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market…
In an increasingly interconnected world, a key scientific challenge is to examine mechanisms that lead to the widespread propagation of contagions, such as misinformation and pathogens, and identify risk factors that can trigger large-scale…
Understanding the dissemination of diseases, information, and behavior stands as a paramount research challenge in contemporary network and complex systems science. The COVID-19 pandemic and the proliferation of misinformation are relevant…
We motivate and explore the basic features of generalized contagion, a model mechanism that unifies fundamental models of biological and social contagion. Generalized contagion builds on the elementary observation that spreading and…
Networks provide a skeleton for the spread of contagions, like, information, ideas, behaviors and diseases. Many times networks over which contagions diffuse are unobserved and need to be inferred. Here we apply survival theory to develop…
Empirical evidence reveals that contagion processes often occur with competition of simple and complex contagion, meaning that while some agents follow simple contagion, others follow complex contagion. Simple contagion refers to spreading…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
An approach is developed for analyzing computer networks to identify systems and accounts that are at particular risk of compromise by an adversary seeking to move laterally through the network via authentication. The dynamics of the…
Network theory provides tools which are particularly appropriate for assessing the complex interdependencies that characterise our modern connected world. This article presents an introduction to network theory, in a way that doesn't…
The dynamics of diffusion in complex networks are widely studied to understand how entities, such as information, diseases, or behaviors, spread in an interconnected environment. Complex networks often present community structure, and tools…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
An enduring challenge in contagion theory is that the pathways contagions follow through social networks exhibit emergent complexities that are difficult to predict using network structure. Here, we address this challenge by developing a…
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…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…
Global trade of material goods involves the potential to create pathways for the spread of infectious pathogens. One trade sector in which this synergy is clearly critical is that of wildlife trade networks. This highly complex system…
This paper leverages linear systems theory to propose a principled measure of complexity for network systems. We focus on a network of first-order scalar linear systems interconnected through a directed graph. By locally filtering out the…