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We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…

In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…

Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…

This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…

Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…

Power system blackouts are usually triggered by the initial contingency and then deteriorate as the branch outage spreads quickly. Thus, it is crucial to eliminate the propagation of cascading outages in its infancy. In this paper, a model…

A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…

The detection of frauds in credit card transactions is a major topic in financial research, of profound economic implications. While this has hitherto been tackled through data analysis techniques, the resemblances between this and other…

A matrix network is a family of matrices, with relatedness modeled by a weighted graph. We consider the task of completing a partially observed matrix network. We assume a novel sampling scheme where a fraction of matrices might be…

We study a cascading edge failure mechanism on a connected random graph with a prescribed degree sequence, sampled using the configuration model. This mechanism prescribes that every edge failure puts an additional strain on the remaining…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

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…

A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…

As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…

The recent financial crisis has sharply revealed that current understanding of the global financial system is more than limited. In the recovery plan the confidence in the underlying theory is crucial. To address the problem we propose the…

In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…

We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the…

This paper considers the problem of matrix completion when some number of the columns are completely and arbitrarily corrupted, potentially by a malicious adversary. It is well-known that standard algorithms for matrix completion can return…

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…

Cascading failures are a critical vulnerability of complex information or infrastructure networks. Here we investigate the properties of load-based cascading failures in real and synthetic spatially-embedded network structures, and propose…