相关论文: Systemic Risk in the European Insurance Sector
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…
As artificial intelligence (AI) becomes increasingly embedded in digital, social, and institutional infrastructures, and AI and platforms are merged into hybrid structures, systemic risk has emerged as a critical but undertheorized…
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 study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
National economies rest on networks of millions of customer-supplier relations. Some companies -- in the case of their default -- can trigger significant cascades of shock in the supply-chain network and are thus systemically risky. Up to…
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts. We distinguish three main types of cyber risks:…
In the highly complex and stochastic global, supply chain environments, local enterprise agents seek distributed and dynamic strategies for agile responses to disruptions. Existing literature explores both centralized and distributed…
Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
Recent crises like the COVID-19 pandemic and geopolitical tensions have exposed vulnerabilities and caused disruptions of supply chains, leading to product shortages, increased costs, and economic instability. This has prompted increasing…
Risk perceptions are essential in cyber insurance contracts. With the recent surge of information, human risk perceptions are exposed to the influences from both beneficial knowledge and fake news. In this paper, we study the role of the…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
In recent years, researchers have proposed \emph{cyber-insurance} as a suitable risk-management technique for enhancing security in Internet-like distributed systems. However, amongst other factors, information asymmetry between the insurer…
The emergence of interconnected urban networks is a crucial feature of globalisation processes. Understanding the drivers behind the growth of such networks - in particular urban firm networks -, is essential for the economic resilience of…
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business models of the 365 largest European banks that is suitable…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…
We consider the problem of risk diversification in complex networks. Nodes represent e.g. financial actors, whereas weighted links represent e.g. financial obligations (credits/debts). Each node has a risk to fail because of losses…