Related papers: Sharp Transitions and Systemic Risk in Sparse Fina…
We calculate analytically the critical connectivity $K_c$ of Random Threshold Networks (RTN) for homogeneous and inhomogeneous thresholds, and confirm the results by numerical simulations. We find a super-linear increase of $K_c$ with the…
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…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
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…
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are…
Bootstrap percolation is a process that is used to model the spread of an infection on a given graph. In the model considered here each vertex is equipped with an individual threshold. As soon as the number of infected neighbors exceeds…
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…
We study binary state contagion dynamics on a social network where nodes act in response to the average state of their neighborhood. We model the competing tendencies of imitation and non-conformity by incorporating an off-threshold into…
Spreading broadly refers to the notion of an entity propagating throughout a networked system via its interacting components. Evidence of its ubiquity and severity can be seen in a range of phenomena, from disease epidemics to financial…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
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…
Semi-supervised learning on real-world graphs is frequently challenged by heterophily, where the observed graph is unreliable or label-disassortative. Many existing graph neural networks either rely on a fixed adjacency structure or attempt…
Propagation of contagion through networks is a fundamental process. It is used to model the spread of information, influence, or a viral infection. Diffusion patterns can be specified by a probabilistic model, such as Independent Cascade…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
Recently, contagion-based (disease, information, etc.) spreading on social networks has been extensively studied. In this paper, other than traditional full interaction, we propose a partial interaction based spreading model, considering…
We investigate critical behaviors of a social contagion model on weighted networks. An edge-weight compartmental approach is applied to analyze the weighted social contagion on strongly heterogenous networks with skewed degree and weight…
We study the limiting behavior of interacting particle systems indexed by large sparse graphs, which evolve either according to a discrete time Markov chain or a diffusion, in which particles interact directly only with their nearest…
We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…