相关论文: Systemic risk in a network fragility model analyze…

Research on the vulnerability of electric networks with a complex network approach has produced significant results in the last decade, especially for transmission networks. These studies have shown that there are causal relations between…

Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…

Various simulation-based and analytical methods have been developed to evaluate the seismic fragilities of individual structures. However, a community's seismic safety and resilience are substantially affected by network reliability,…

A central issue in the study of large complex network systems, such as power grids, financial networks, and ecological systems, is to understand their response to dynamical perturbations. Recent studies recognize that many real networks…

We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…

The methodology based on the random walk processes is adapted and applied to a comprehensive analysis of the statistical properties of the probability fluxes. To this aim we define a simple model of the Markovian stochastic dynamics on a…

We study the evolution of a random weighted network with complex nonlinear dynamics at each node, whose activity may cease as a result of interactions with other nodes. Starting from a knowledge of the micro-level behaviour at each node, we…

The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…

This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…

The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…

Many natural and artificial networks evolve in time. Nodes and connections appear and disappear at various timescales, and their dynamics has profound consequences for any processes in which they are involved. The first empirical analysis…

We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…

Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

In the study of dynamical processes on networks, there has been intense focus on network structure -- i.e., the arrangement of edges and their associated weights -- but the effects of the temporal patterns of edges remains poorly…

We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…

This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…

Systemic risk refers to the overall vulnerability arising from the high degree of interconnectedness and interdependence within the financial system. In the rapidly developing decentralized finance (DeFi) ecosystem, numerous studies have…

The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…