Related papers: Systemic Risk in DeFi: A Network-Based Fragility A…
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk…
The wide availability of data coupled with the computational advances in artificial intelligence and machine learning promise to enable many future technologies such as autonomous driving. While there has been a variety of successful…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…
Federated Learning (FL) has emerged as a key paradigm for building Trustworthy AI systems by enabling privacy-preserving, decentralized model training. However, FL is highly susceptible to adversarial attacks that compromise model integrity…
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…
Critical infrastructure systems, including energy grids, healthcare facilities, transportation networks, and water distribution systems, are pivotal to societal stability and economic resilience. However, the increasing interconnectivity of…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we…
The blockchain technology promises to transform finance, money and even governments. However, analyses of blockchain applicability and robustness typically focus on isolated systems whose actors contribute mainly by running the consensus…
We consider the problem of learning causal structures in sparse high-dimensional settings that may be subject to the presence of (potentially many) unmeasured confounders, as well as selection bias. Based on the structure found in common…
The 2008 financial crisis exposed fundamental vulnerabilities in interconnected banking systems, yet existing frameworks fail to integrate spatial propagation with network contagion mechanisms. This paper develops a unified spatial-network…
Decentralized control schemes are increasingly favored in various domains that involve multi-agent systems due to the need for computational efficiency as well as general applicability to large-scale systems. However, in the absence of an…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
Various simulation-based and analytical methods have been developed to evaluate the seismic fragilities of individual structures. However, a community's seismic safety and resilience are substantially affected by network reliability,…
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…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
This study extends the Gai-Kapadia framework, originally developed for interbank contagion, to assess systemic risk and default cascades in global equity markets. We analyze a 30 asset network comprising Brazilian and developed market…
Blockchain adoption has surged with the rise of Decentralized Finance (DeFi) applications. However, the significant value of digital assets managed by DeFi protocols makes them prime targets for attacks. Current smart contract vulnerability…