Related papers: Contagion or Macroeconomic Fluctuations? Identifia…
We introduce a new type of point process model to describe the incidence of contagious diseases. The model is a variant of the Hawkes self-exciting process and exhibits similar clustering but without the restriction that the component…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of two sectors is in both direction, which enrich dependence…
We present derivations of the contagion condition for a range of spreading mechanisms on families of generalized random networks and bipartite random networks. We show how the contagion condition can be broken into three elements, two…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
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…
Group-based reinforcement can induce discontinuous transitions from inactive to active phases in higher-order contagion models. However, these results are typically obtained on static interaction structures or within mean-field…
We study a graph-theoretic property known as robustness, which plays a key role in certain classes of dynamics on networks (such as resilient consensus, contagion and bootstrap percolation). This property is stronger than other graph…
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…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
Levels of sociality in nature vary widely. Some species are solitary; others live in family groups; some form complex multi-family societies. Increased levels of social interaction can allow for the spread of useful innovations and…
The metapopulation framework is adopted in a wide array of disciplines to describe systems of well separated yet connected subpopulations. The subgroups or patches are often represented as nodes in a network whose links represent the…
We consider the qualitative behavior of a mathematical model for transmission dynamics with two nonlinear stages of contagion. The proposed model is inspired by phenomena occurring in epidemiology (spread of infectious diseases) or social…
Recent years have seen a large amount of interest in epidemics on networks as a way of representing the complex structure of contacts capable of spreading infections through the modern human population. The configuration model is a popular…
Understanding how complex behaviors, opinions, and innovations spread in online social networks remains a central challenge in computational social science. Existing models of complex contagion typically rely on stylized threshold…
Ideas, behaviors, and opinions spread through social networks. If the probability of spreading to a new individual is a non-linear function of the fraction of the individuals' affected neighbors, such a spreading process becomes a "complex…
We introduce a simple and extendable coevolution model for the analysis of longitudinal network and nodal attribute data. The model features parameters that describe three phenomena: homophily, contagion and autocorrelation of the network…
Economic choices are often stochastic: the same person may make a different choice when facing the same alternatives repeatedly. Standard models assume that the degree of randomness reflects the size of utility differences, but choice…
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…
Credit risk default prediction remains a cornerstone of risk management in the financial industry. The task involves estimating the likelihood that a borrower will fail to meet debt obligations, an objective critical for lending decisions,…