A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study uses Hawkes processes to analyze stock market contagion in China.
Method reconstructs networks from contagion dynamics.
This paper examines how the U.S.--China trade war affects stock markets, finding evidence of financial contagion and changes in risk channels.
Paper introduces a new model for cyber insurance pricing.
The paper models default probabilities and total defaults in credit portfolios using a contagion process with self-exciting jumps.
iConViz helps banks manage default contagion risk in networked loans.
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic characterizations for the d…
Complex contagion model explains financial fire sales through continuous asset prices.
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the spread of a disease among a population is similar to the contagion process in e…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased likelihood of further jumps, both …
We present a model of worldwide crisis contagion based on the Google matrix analysis of the world trade network obtained from the UN Comtrade database. The fraction of bankrupted countries exhibits an \textit{on-off} phase transition governed by a bankruptcy threshold related to the trade balance of the countries. …
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the interaction of different models and their pricing impact. Specifically, we model…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial institutions, shocks that are locally confined at first can spread through the entire syst…
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate each other with correlated levels of contagion. We generalize a recent algorithm f…
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 portfolios and leverage, and we show how it can be understood in terms of a generalized b…
The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Markov processes. The BDCP describes a rich dynamic structure where the system is under the influence of both external and internal factors model…
Contagion maps detect network structure in noisy data.
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic …
New method detects currency contagion sources using causal inference.
Study examines financial contagion at community level, finding increased contagion density and widespread transmission.
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself and other companies, and the default of the company induces immediate drops in the stock prices of the surviving companie…
Study identifies contagion in aggregated defaults despite environmental changes.
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 analysing the structure of financial systems, and existing studies have modelled and e…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate funding liquidity risk and contagion are available but they require not only banks' …
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
The paper values reinsurance contracts for dynamic catastrophe claims without arbitrage.
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default contagion. Using sparse random graphs to model the financial network, asymptotic met…
Proposes a new jump-diffusion model for option pricing.
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We provide the analytical results for the asymptotic optimal intervention policies and t…
Study optimizes investment strategies in markets with contagious price jumps.
We consider the problem of influence maximization in fixed networks for contagion models in an adversarial setting. The goal is to select an optimal set of nodes to seed the influence process, such that the number of influenced nodes at the conclusion of the campaign is as large as possible. We formulate the problem as…
Modeling default contagion and systemic risk using a balls-and-bins approach.
Study connects bank default models using dynamic contagion.
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency o…
Model quantifies cyber-attacks' impact on firms and insurers.
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the classical literature and allo…
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a homogeneous model. The components of a vector Ornstein-Uhlenbeck proc…
Estimates peer influence effects using embeddings for social networks.
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of contagion in financial networks. We develop a common framework encompassing seve…
Study combines intra-risk and contagion risk for SME bankruptcy prediction.
Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work we explore ideas developed about financial contagion to create a network of inve…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-t…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radical…
Optimal credit and consumption strategies in a switching market with default contagion.
Measures risk contagion in financial networks using CoVaR.
Deep learning predicts contagion dynamics on complex networks.
This paper models financial contagion with endogenously determined market liquidity.