Related papers: Contagion or Macroeconomic Fluctuations? Identifia…
Single contagion processes are known to display a continuous transition from an epidemic-free phase at low contagion rates to the epidemic state for rates above a critical threshold. This transition can become discontinuous when two simple…
We consider multiple diseases spreading in a static Configuration Model network. We make standard assumptions that infection transmits from neighbor to neighbor at a disease-specific rate and infected individuals recover at a…
Contagion, a concept from epidemiology, has long been used to characterize social influence on people's behavior and affective (emotional) states. While it has revealed many useful insights, it is not clear whether the contagion metaphor is…
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…
Groups of enterprises can serve as guarantees for one another and form complex networks when obtaining loans from commercial banks. During economic slowdowns, corporate default may spread like a virus and lead to large-scale defaults or…
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
I reflect on the statistical methods of the Christakis-Fowler studies on network-based contagion of traits by checking the sensitivity of these kinds of results to various alternate specifications and generative mechanisms. Despite the…
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…
Network structure can affect when and how widely new ideas, products, and behaviors are adopted. In widely-used models of biological contagion, interventions that randomly rewire edges (on average making them "longer") accelerate spread.…
We investigate the statistics of fluctuations in a classical stochastic network of nodes joined by connectors. The nodes carry generalized charge that may be randomly transferred from one node to another. Our goal is to find the time…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
While the presence of clustering in crime and security event data is well established, the mechanism(s) by which clustering arises is not fully understood. Both contagion models and history independent correlation models are applied, but…
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…
When an infection spreads in a community, an individual's probability of becoming infected depends on both her susceptibility and exposure to the contagion through contact with others. While one often has knowledge regarding an individual's…
Infectious disease dynamics operate across multiple biological scales, with within-host viral dynamics being a key driver of between-host transmission. However, while models that explicitly link these scales exist, none have been developed…
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…
It is essential to understand the dynamics of epidemics in the presence of coexisting pathogens. There are various phenomenon that can effect the dynamics. In this paper, we formulate a mathematical model using different assumptions to…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…