Related papers: Sharp Transitions and Systemic Risk in Sparse Fina…
In this paper, we consider the question of computing sparse subgraphs for any input directed graph $G=(V,E)$ on $n$ vertices and $m$ edges, that preserves reachability and/or strong connectivity structures. We show $O(n+\min\{|{\cal…
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…
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…
We propose a dynamic mean field model for `systemic risk' in large financial systems, which we derive from a system of interacting diffusions on the positive half-line with an absorbing boundary at the origin. These diffusions represent the…
We systematically study and compare damage spreading at the sparse percolation (SP) limit for random boolean and threshold networks with perturbations that are independent of the network size $N$. This limit is relevant to information and…
Propagation of contagion in networks depends on the graph topology. This paper is concerned with studying the time-asymptotic behavior of the extended contact processes on static, undirected, finite-size networks. This is a contact process…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
We undertake a fundamental study of network equilibria modeled as solutions of fixed point equations for monotone linear functions with saturation nonlinearities. The considered model extends one originally proposed to study systemic risk…
This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
We analytically determine when a range of abstract social contagion models permit global spreading from a single seed on degree-correlated random networks. We deduce the expected size of the largest vulnerable component, a network's…
We investigate the credit risk model defined in Hatchett & K\"{u}hn under more general assumptions, in particular using a general degree distribution for sparse graphs. Expanding upon earlier results, we show that the model is exactly…
We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…
In this paper we describe a triple correspondence between graph limits, information theory and group theory. We put forward a new graph limit concept called log-convergence that is closely connected to dense graph limits but its main…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…
Recent research on social contagion processes has revealed the limitations of traditional networks, which capture only pairwise relationships, to characterize complex multiparty relationships and group influences properly. Social contagion…