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As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…

Interdependent networks are ubiquitous in our society, ranging from infrastructure to economics, and the study of their cascading behaviors using percolation theory has attracted much attention in the recent years. To analyze the…

Cascading failures represent a fundamental threat to the integrity of complex systems, often precipitating a comprehensive collapse across diverse infrastructures and financial networks. This research articulates a robust and pragmatic…

Large but rare cascades triggered by small initial shocks are present in most of the infrastructure networks. Here we present a simple model for cascading failures based on the dynamical redistribution of the flow on the network. We show…

Many quantities that characterize network elements are defined in an explicit form and calculated directly from the network structure; examples of include several centrality measures like degree, closeness, or betweenness. However, there…

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…

The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…

We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…

When a loan is approved for a person or company, the bank is subject to \emph{credit risk}; the risk that the lender defaults. To mitigate this risk, a bank will require some form of \emph{security}, which will be collected if the lender…

Interconnected agents such as firms in a supply chain make simultaneous preparatory investments to increase chances of honouring their respective bilateral agreements. Failures cascade: if one fails their agreement, then so do all who…

The transition to auto-bidding in online advertising has shifted the focus of auction theory from quasi-linear utility maximization to value maximization subject to financial constraints. We study mechanism design for buyers with private…

We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…

Originally developed for imputing missing entries in low rank, or approximately low rank matrices, matrix completion has proven widely effective in many problems where there is no reason to assume low-dimensional linear structure in the…

This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…

Payment channel networks (PCNs) have emerged as a scalability solution for blockchains built on the concept of a payment channel: a setting that allows two nodes to safely transact between themselves in high frequencies based on…

Risk scoring systems are widely used in high-stakes domains to assist decision-making. However, existing approaches often focus on optimizing predictive accuracy or likelihood-based criteria, which may not align with the main goal of…

We consider multi-class single-server queueing networks that have a product form stationary distribution. A new limit result proves a sequence of such networks converges weakly to a stochastic flow level model. The stochastic flow level…

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…

Networked systems are susceptible to cascading failures, where the failure of an initial set of nodes propagates through the network, often leading to system-wide failures. In this work, we propose a multiplex flow network model to study…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…