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.
Measures risk contagion in financial networks using CoVaR.
Study identifies contagion in aggregated defaults despite environmental changes.
Study uses Hawkes processes to analyze stock market contagion in China.
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…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may significantly change the dynamics of the overall system. We explicitely insert a term descr…
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financia…
Modeling bank leverage dynamics to understand systemic risk in financial markets.
Method reconstructs networks from contagion dynamics.
This paper optimizes cybersecurity resource allocation in networks with heterogeneous attacker and defender valuations.
Contagion maps detect network structure in noisy data.
Study examines herding behavior in stocks, US ETFs, and cryptocurrencies.
New method detects currency contagion sources using causal inference.
Study examines financial contagion at community level, finding increased contagion density and widespread transmission.
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the …
This paper examines how the U.S.--China trade war affects stock markets, finding evidence of financial contagion and changes in risk channels.
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of high values of Y on X. This can be measured in a variety of ways. In this paper, we…
Networks provide a skeleton for the spread of contagions, like, information, ideas, behaviors and diseases. Many times networks over which contagions diffuse are unobserved and need to be inferred. Here we apply survival theory to develop general additive and multiplicative risk models under which the network inference…
Study connects bank default models using dynamic contagion.
Complex contagion model explains financial fire sales through continuous asset prices.
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…
Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.
iConViz helps banks manage default contagion risk in networked loans.
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…
Regshock visualizes financial risks to help regulators manage systemic shocks.
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.
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…
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…
Model shows worldwide trade crises can be localized or global, depending on trade balance.
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…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
Optimal credit and consumption strategies in a switching market with default contagion.
Deep learning predicts contagion dynamics on complex networks.
This paper models financial contagion with endogenously determined market liquidity.
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we show that networks of interbank exposures can however significantly amplify contagi…
Study quantifies financial contagion risks in supply chains.
Model connects financial contagion models to mean field analysis.
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and…
Model predicts credit portfolio losses with contagion effects.
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 …
Model shows how banks' fears of future defaults can cause immediate financial stress.
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the …
This paper develops a new framework to assess crypto portfolio risk using simulation methods.
Study controlled contagion with state-dependent killing, proving a comparison principle.
The paper analyzes how contagion affects the survival probability of investment groups in microfinance.
We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single supplier - "many to one" contagion) and amplification (through their interaction wi…