Related papers: Effects of Economic Interactions on Credit Risk
Social interactions determine many economic behaviors, but information on social ties does not exist in most publicly available and widely used datasets. We present results on the identification of social networks from observational panel…
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and…
Many progresses in the understanding of epidemic spreading models have been obtained thanks to numerous modeling efforts and analytical and numerical studies, considering host populations with very different structures and properties,…
The spread of COVID-19 and ensuing containment measures have accentuated the profound interdependence among nations or regions. This has been particularly evident in tourism, one of the sectors most affected by uncoordinated mobility…
A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of…
Social distancing interventions can be effective against epidemics but are potentially detrimental for the economy. Businesses that rely heavily on face-to-face communication or close physical proximity when producing a product or providing…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
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…
"Personal responsibility", one of the basic principles of modern law, requires one to be responsible for what he did. However, personal responsibility is far from the only norm ruling human interactions, especially in social and economic…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
Growing awareness of the impact of business activity on the environment increases the pressure on governing bodies to address this issue. One possibility is to encourage or force the market into green behaviours. However, it is often hard…
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
In the present work we extend the Bak-Sneppen model for biological evolution by introducing local interactions between species. This ``environmental'' perturbation can modify the intrinsic fitness of each element of the ecology, leading to…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between…
Reputation plays a crucial role in social interactions by affecting the fitness of individuals during an evolutionary process. Previous works have extensively studied the result of imitation dynamics without focusing on potential irrational…