相关论文: Contagion in an interacting economy

It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…

We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises…

One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…

In recent years, the exploration of node centrality has received significant attention and extensive investigation, primarily fuelled by its applications in diverse domains such as product recommendations, opinion propagation, disease…

As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…

We investigate infectious disease spreading on scale-free networks using a heterogeneous mean-field approach applied to the susceptible-infected-susceptible model, incorporating a mitigation factor. Individual heterogeneity is incorporated…

We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…

Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…

In this paper, we study convergence of coupled dynamical systems on convergent sequences of graphs to a continuum limit. We show that the solutions of the initial value problem for the dynamical system on a convergent graph sequence tend to…

We address the issue of the proximity of interacting diffusion models on large graphs with a uniform degree property and a corresponding mean field model, i.e. a model on the complete graph with a suitably renormalized interaction…

We consider an SIR epidemic model propagating on a configuration model network, where the degree distribution of the vertices is given and where the edges are randomly matched. The evolution of the epidemic is summed up into three…

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…

We prove limit theorems for systems of interacting diffusions on sparse graphs. For example, we deduce a hydrodynamic limit and the propagation of chaos property for the stochastic Kuramoto model with interactions determined by…

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit…

We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…

In this paper we describe a triple correspondence between graph limits, information theory and group theory. We put forward a new graph limit concept called log-convergence that is closely connected to dense graph limits but its main…

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…

We typically interact in groups, not just in pairs. For this reason, it has recently been proposed that the spread of information, opinion or disease should be modelled over a hypergraph rather than a standard graph. The use of hyperedges…

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…

We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…