Related papers: Default Contagion, Matrix Approximation, and Contr…

Individual-based models of contagious processes are useful for predicting epidemic trajectories and informing intervention strategies. In such models, the incorporation of contact network information can capture the non-randomness and…

Heavy-tailed distributions have been studied in statistics, random matrix theory, physics, and econometrics as models of correlated systems, among other domains. Further, heavy-tail distributed eigenvalues of the covariance matrix of the…

In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…

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…

The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for example, a sequence of discrete-time martingales converging to a…

Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…

Models of threshold driven contagion explain the cascading spread of information, behavior, systemic risk, and epidemics on social, financial and biological networks. At odds with empirical observation, these models predict that…

Cascading failures are a critical vulnerability of complex information or infrastructure networks. Here we investigate the properties of load-based cascading failures in real and synthetic spatially-embedded network structures, and propose…

The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…

We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…

Typically, contagion strength is modeled by a transmission rate $\lambda$, whereby all nodes in a network are treated uniformly in a mean-field approximation. However, local agents react differently to the same contagion based on their…

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…

In this work, we consider the controllability of a discrete-time linear dynamical system with sparse control inputs. Sparsity constraints on the input arises naturally in networked systems, where activating each input variable adds to the…

Predictive contagion models are ubiquitous in epidemiology, social sciences, engineering, and management. This paper formulates a prescriptive contagion analytics model where a decision-maker allocates shared resources across multiple…

A key question in many network studies is whether the observed correlations between units are primarily due to contagion or latent confounding. Here, we study this question using a segregated graph (Shpitser, 2015) representation of these…

This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…

We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…

Controlling complex networks is of paramount importance in science and engineering. Despite the recent development of structural-controllability theory, we continue to lack a framework to control undirected complex networks, especially…

Contagion effect refers to the causal effect of peers' behavior on the outcome of an individual in social networks. Contagion can be confounded due to latent homophily which makes contagion effect estimation very hard: nodes in a homophilic…

The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…