相关论文: Structural changes in the interbank market across …
Community and core-periphery are two widely studied graph structures, with their coexistence observed in real-world graphs (Rombach, Porter, Fowler \& Mucha [SIAM J. App. Math. 2014, SIAM Review 2017]). However, the nature of this…
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a…
Sequential fundraising in two sided online platforms enable peer to peer lending by sequentially bringing potential contributors, each of whose decisions impact other contributors in the market. However, understanding the dynamics of…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…
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…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast,…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
In finance, Random Matrix Theory (RMT) is an important tool for filtering out noise from large datasets, revealing true correlations among stocks, enhancing risk management and portfolio optimization. In this study, we use RMT to filter out…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
Multiplex networks are convenient mathematical representations for many real-world -- biological, social, and technological -- systems of interacting elements, where pairwise interactions among elements have different flavors. Previous…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
We analyze the multilayer architecture of the global input-output network using sectoral trade data (WIOD, 2016 release). With a focus on the mesoscale structure and related properties, our multilayer analysis takes into consideration the…
Macroeconomic indexes are of high importance for banks: many risk-control decisions utilize these indexes. A typical workflow of these indexes evaluation is costly and protracted, with a lag between the actual date and available index being…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
Bipartite networks provide an insightful representation of many systems, ranging from mutualistic networks of species interactions to investment networks in finance. The analysis of their topological structures has revealed the ubiquitous…
Network analysis of inter-industry payment flows reveals structural economic relationships invisible to traditional bilateral measurement approaches, with significant implications for real-time economic monitoring. Analysing 532,346 UK…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
Many real-world complex networks are best modeled as bipartite (or 2-mode) graphs, where nodes are divided into two sets with links connecting one side to the other. However, there is currently a lack of methods to analyze properly such…
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that…