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.
This paper examines how the U.S.--China trade war affects stock markets, finding evidence of financial contagion and changes in risk channels.
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
Study combines intra-risk and contagion risk for SME bankruptcy prediction.
iConViz helps banks manage default contagion risk in networked loans.
Estimates network causal effects considering contagion and latent confounding.
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…
Deep learning predicts contagion dynamics on complex networks.
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 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…
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by…
Model predicts credit portfolio losses with contagion effects.
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…
Paper proposes methods to reduce financial contagion by targeted cash injections.
Method reconstructs networks from contagion dynamics.
The paper models default probabilities and total defaults in credit portfolios using a contagion process with self-exciting jumps.
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 …
Contagion maps detect network structure in noisy data.
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 paper analyzes how contagion affects the survival probability of investment groups in microfinance.
Model predicts asset prices from initial shocks using neural networks.
Causal-NECO VaR improves financial risk assessment under market turbulence.
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…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that can propagate distress contagiously both directly within the banking network itsel…
This paper examines SVB's failure and its impact on bank stocks.
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…
New method detects currency contagion sources using causal inference.
Study examines financial contagion at community level, finding increased contagion density and widespread transmission.
Study identifies contagion in aggregated defaults despite environmental changes.
Study asset price bubbles using random matching and stochastic factors.
Estimates peer influence effects using embeddings for social networks.
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
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…
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
Many immunization strategies have been proposed to prevent infectious viruses from spreading through a network. In this study, we propose efficient immunization strategies to prevent a default contagion that might occur in a financial network. An essential difference from the previous studies on immunization strategy i…
Model assesses how supply chain disruptions affect financial stability.
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler models existing in the literature--namely proportional reinsurance--greatly underesti…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous defau…
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two key stylized features of global markets during presumptive contagion periods: s…
A new test for volatility in clustered time series data, robust to distributional assumptions.
This paper optimizes cybersecurity resource allocation in networks with heterogeneous attacker and defender valuations.
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…
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…
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…
Graph Cascades rewire graphs to improve structure-aware learning.
Study uses Hawkes processes to analyze stock market contagion in China.
Multiplex Network Hawkes model for systemic risk measurement