Related papers: Default Contagion, Matrix Approximation, and Contr…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
The spread of ideas, behaviors, and technologies generally depends on feedback mechanisms operating across multiple scales. Previous studies have extensively examined pairwise transmission and local reinforcement. However, the role of…
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…
In several applications in distributed systems, an important design criterion is ensuring that the network is sparse, i.e., does not contain too many edges, while achieving reliable connectivity. Sparsity ensures communication overhead…
Predicting the bankruptcy risk of small and medium-sized enterprises (SMEs) is an important step for financial institutions when making decisions about loans. Existing studies in both finance and AI research fields, however, tend to only…
Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…
We introduce a family of particle systems on sparse graphs where local interactions occur via hitting times, providing a dynamic and tractable model for default cascades in large sparsely-connected financial networks. Building on the…
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the…
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…
We present the mathematical analysis of generalized complex contagions in clustered multiplex networks for susceptible-infected-recovered (SIR)-like dynamics. The model is intended to understand diffusion of influence, or any other…
The contagion threshold for diffusion of innovations is defined and calculated in finite graphs (two-dimensional regular lattices, regular random networks (RRNs), and two kinds of scale-free networks (SFNs)) with and without the bilingual…
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 propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
In this paper, we study the controllability and stabilizability properties of the Kolmogorov forward equation of a continuous time Markov chain (CTMC) evolving on a finite state space, using the transition rates as the control parameters.…
This thesis includes analysis of disordered spin ensembles corresponding to Exact Cover, a multi-access channel problem, and composite models combining sparse and dense interactions. The satisfiability problem in Exact Cover is addressed…
We study a family of binary state, socially-inspired contagion models which incorporate imitation limited by an aversion to complete conformity. We uncover rich behavior in our models whether operating with either probabilistic or…
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…