相关论文: Contagion in an interacting economy
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…
Even though power-law or close-to-power-law degree distributions are ubiquitously observed in a great variety of large real networks, the mathematically satisfactory treatment of random power-law graphs satisfying basic statistical…
Security games model the confrontation between a defender protecting a set of targets and an attacker who tries to capture them. A variant of these games assumes security interdependence between targets, facilitating contagion of an attack.…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
Financial risks trend to spread from one entity to another, ultimately leading to systemic risks. The key to preventing such risks lies in understanding the causal chains behind risk contagion. Despite this, prevailing approaches primarily…
The susceptible-infected-susceptible epidemic model is analyzed through a degree-based mean-field approach. In this work, a mitigation factor is introduced in the probability of finding an infected individual following an edge. This…
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…
In this paper we offer a novel type of network model which can capture the precise structure of a financial market based, for example, on empirical findings. With the attached stochastic framework it is further possible to study how an…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…
We develop a theoretical framework for the study of epidemic-like social contagion in large scale social systems. We consider the most general setting in which different communication platforms or categories form multiplex networks.…
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…
We study the susceptible-infected-recovered (SIR) epidemic on a random graph chosen uniformly over all graphs with certain critical, heavy-tailed degree distributions. For this model, each vertex infects all its susceptible neighbors and…
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…
Contagion processes relying on the exposure to multiple sources are prevalent in social systems, and are effectively represented by hypergraphs. In this Letter, we derive a mean-field model that goes beyond node- and pair-based…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
In this paper, we propose a modified susceptible-infected-recovered (SIR) model, in which each node is assigned with an identical capability of active contacts, $A$, at each time step. In contrast to the previous studies, we find that on…
Exchangeable models for countable vertex-labeled graphs cannot replicate the large sample behaviors of sparsity and power law degree distribution observed in many network datasets. Out of this mathematical impossibility emerges the question…
We introduce and develop a theory of limits for sequences of sparse graphs based on $L^p$ graphons, which generalizes both the existing $L^\infty$ theory of dense graph limits and its extension by Bollob\'as and Riordan to sparse graphs…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…