相关论文: Structural changes in the interbank market across …
The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
A growing number of systems are represented as networks whose architecture conveys significant information and determines many of their properties. Examples of network architecture include modular, bipartite, and core-periphery structures.…
With a core-periphery structure of networks, core nodes are densely interconnected, peripheral nodes are connected to core nodes to different extents, and peripheral nodes are sparsely interconnected. Core-periphery structure composed of a…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
Detecting the presence of mesoscale structures in complex networks is of primary importance. This is especially true for financial networks, whose structural organization deeply affects their resilience to events like default cascades,…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
While studies of meso-scale structures in networks often focus on community structure, core--periphery structures can reveal new insights. This structure typically consists of a well-connected core and a periphery that is well connected to…
Intermediate-scale (or `meso-scale') structures in networks have received considerable attention, as the algorithmic detection of such structures makes it possible to discover network features that are not apparent either at the local scale…
Many real-world networks are theorized to have core-periphery structure consisting of a densely-connected core and a loosely-connected periphery. While this phenomenon has been extensively studied in a range of scientific disciplines, it…
Multilayer networks provide a powerful framework for modeling complex systems that capture different types of interactions between the same set of entities across multiple layers. Core-periphery detection involves partitioning the nodes of…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
A number of important transport networks, such as the airline and trade networks of the world, exhibit a characteristic core-periphery structure, wherein a few nodes are highly interconnected and the rest of the network frays into a tree.…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB…
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…