Method reconstructs networks from contagion dynamics.
problem Fitting contagion models assumes simple dynamics, ignoring complex contagions.
method Nonparametric method to reconstruct network and dynamics from node states.
result Networks are easier to reconstruct through complex contagions in dense or saturated networks.
Extends contagion models to include direct and indirect impacts of defaults on the environment.
problem Capturing the impact of defaults on a broader economy.
method Introduces a new model allowing direct and indirect contagion within and from a default system.
result Shows how defaults within a system can affect the environment and vice versa.
Modeling dependent defaults with contagion effects.
problem Dependent defaults and their contagion effects.
method First passage time approach to structural framework.
result A new method to model default contagion.
Study identifies contagion in aggregated defaults despite environmental changes.
problem Identify contagion in aggregated default counts with fluctuating probabilities.
method Compare three contagion mechanisms (Davis-Lo, Torri, Vasicek) under i.i.d. and hierarchical specifications.
result Threshold contagion is largely absorbed into environmental heterogeneity, while cumulative contagion leaves a persistent signature.
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
problem Predicting U.S. bank defaults using interbank contagion.
method Regression and neural network models were used to analyze U.S. commercial bank data.
result Interbank contagion is highly explanatory in default prediction, often outperforming established metrics.
Study financial contagion in investment funds using network analysis.
problem Measuring financial contagion in investment funds.
method Developed a network model combining cross-holding and bipartite structure.
result Identified contagion patterns and market stability.
Study examines financial contagion at community level, finding increased contagion density and widespread transmission.
problem Understanding and managing financial contagion in interconnected markets.
method High-frequency data, Louvain community detection, Vector Autoregression, Tracy-Widom random matrix theory.
result Contagion density increases over time, and there is no significant difference between intra- and inter-community contagion.
This thesis models financial contagion and stability, providing insights for systemic risk management.
problem Systemic risk in financial networks through default contagion and fire sales.
method Developed mathematical models for default contagion in weighted financial networks, derived asymptotic expressions for total damage.
result Explicit asymptotic expressions for total damage and stability criteria for financial systems.
The paper reconciles views on financial contagion, showing it depends on information availability.
problem Understanding how financial systems amplify external shocks.
method Developed a common framework for network contagion models.
result The extent of contagion depends on information availability, leading to different levels of loss amplification.
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…
Study connects bank default models using dynamic contagion.
problem Understanding default contagion in heterogeneous interbank systems.
method Proposes a dynamic default contagion model with endogenous early defaults for a finite set of banks, reformulating as a stochastic particle system.
result Existence of clearing systems and continuity of the system response for the mean-field problem.
Contagion maps detect network structure in noisy data.
problem Detecting underlying manifold structure in noisy data.
method Using activation times in threshold contagions to map network nodes to high-dimensional space.
result Contagion maps reliably detect manifold structure in noisy data, while Isomap fails.
Complex contagion model explains financial fire sales through continuous asset prices.
problem Modeling financial fire sales with a continuum of asset prices.
method Developed a threshold model of continuous-state cascades using real values for asset prices.
result Discretization approach accurately replicates the distribution of defaulted banks and asset prices.
Model simulates financial contagion through repo agreements.
problem Financial contagion through repo agreements.
method Agent-based model of financial intermediaries.
result Model accurately simulates financial 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.
problem The impact of the U.S.--China trade war on stock markets and financial contagion.
method Developed a novel jump-diffusion process to account for risk contagion, using high-frequency financial data and quasi-maximum likelihood estimator.
result Evidence of financial contagion from the U.S. to China, with changes in risk contagion channels.
Model financial contagion with dynamic interbank liabilities.
problem Model financial contagion with time dynamics of interbank liabilities.
method Generalized Eisenberg-Noe model with time dynamics, separating cash and capital accounts.
result Distinguish between delinquency and default, insolvency and illiquidity.
New method detects currency contagion sources using causal inference.
problem Lack of causal interpretation in quantifying contagion among currencies.
method Network-based causal inference to identify contagion paths.
result Identifies sources of contagion and diversification options.
Modeling contagion effects in credit default risk with macroeconomic impact.
problem Capturing contagion and macroeconomic impacts on credit default risk.
method Set-valued Markov chain to model default process, deriving pricing formulas.
result Evidence supports contagion and macroeconomic risk as leading default factors.
Measures risk contagion in financial networks using CoVaR.
problem Assessing stability of complex financial systems.
method Financial network model with bipartite graph of institutions and assets, heavy-tailed distributions, copula models, CoVaR and ECI.
result Proposes the Extreme CoVaR Index (ECI) for capturing risk contagion strength.
Study uses epidemiological models to analyze financial contagion risks.
problem Analyzing and controlling contagion risks in the global financial network.
method Formulated an optimal control problem based on infection spread models.
result The approach effectively describes the world economy's financial contagion.
Deep learning predicts contagion dynamics on complex networks.
problem Forecasting contagion dynamics on complex networks is challenging.
method Graph neural network learns local mechanisms from time series data.
result Deep learning offers new and accurate models of contagion dynamics.
Study combines intra-risk and contagion risk for SME bankruptcy prediction.
problem Predicting bankruptcy risk of SMEs considering both intra-risk and contagion risk.
method Proposes a novel model using Graph Neural Networks to combine intra-risk and contagion risk.
result Model outperforms state-of-the-art methods in bankruptcy prediction.
This paper models and evaluates contagion and stabilisation in interconnected financial markets.
problem Understanding and managing contagion and resilience in multilayer financial networks.
method Formulates an interconnected multiplex structure, models contagion mechanism, and designs minimum-cost stabilisation strategies.
result Empirically validated minimum-cost stabilisation strategies for multichannel contagion containment.
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 connects financial contagion models to mean field analysis.
problem Systemic risk in financial networks.
method Combines Eisenberg-Noe and mean field models.
result Mean field limit derived from finite bank system.
Model shows worldwide trade crises can be localized or global, depending on trade balance.
problem Understanding and predicting worldwide trade crises.
method Modeling worldwide trade network using Google matrix analysis and bankruptcy threshold.
result Crisis contagion is localized for high trade balance, global for low trade balance.
Study uses Hawkes processes to analyze stock market contagion in China.
problem Understanding contagion in Chinese stock market.
method Fitting Hawkes processes to daily returns and sector indices.
result Identifies long-term dependencies and trending patterns in sector indices.
Bayesian networks model financial contagion in interconnected institutions.
problem Understanding and predicting contagion in financial networks.
method Structural default model using Bayesian network methodologies.
result Bayesian networks can detect contagion channels and measure systemic importance.
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…
New model predicts financial contagion in networks with block structures.
problem Understanding contagion in networks with complex block structures.
method Generalized stochastic block model with varying edge probabilities and exposures.
result Explicit computation of systemic damage and complete resilience characterization.
Model predicts credit portfolio losses with contagion effects.
problem Predicting credit portfolio losses with contagion effects.
method Introduced a model with a recursive algorithm and flexible distributions.
result Good fit for synthetic CDO tranches of the iTraxx index.
Modeling default contagion with partial information and optimal interventions.
problem Analyzing default contagion in financial networks with limited regulator information.
method Developed analytical models for optimal intervention policies and contagion magnitude, extending previous work.
result Optimal intervention policies are 'monotonic' in terms of intervention cost, closeness to invulnerability, and connectivity.
Model shows how banks' fears of future defaults can cause immediate financial stress.
problem How banks' future default worries cause immediate financial stress.
method Dynamic interbank model with endogenous distress contagion, mark-to-market valuation adjustment, forward-backward approach.
result Distress contagion acts as a stochastic volatility term leading to clustering and down-market spikes.
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 …
Financial contagion spreads through international relations, posing systemic risk.
problem Systemic risk in global financial networks due to debt crises.
method Epidemiological model applied to a network of European countries using bilateral foreign claims data.
result Countries experiencing debt crises can threaten global financial stability, akin to a 'financial virus'.
This paper develops a new framework to assess crypto portfolio risk using simulation methods.
problem Traditional financial risk models fail to capture crypto market characteristics like volatility and contagion.
method The framework integrates four components: volatility stress testing, hedging, contagion modeling, and Monte Carlo simulation.
result The framework robustly assesses crypto portfolio risk and is validated with real data.
This paper models financial contagion with endogenously determined market liquidity.
problem Financial contagion and its impact on market liquidity during price drops.
method Developed a joint clearing system for interbank payments, asset prices, and market liquidity, with endogenous market capacity.
result Endogenous market liquidity significantly affects system risk during financial contagion.
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…
Modeling reinsurance network contagion and its risks.
problem Contagion risk in reinsurance networks underestimates simpler models.
method Developed a model for reinsurance network contagion, characterized fixed points, and developed algorithms for computation.
result Reinsurance networks are highly sensitive to parameters and network structure, leading to significant losses.
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…
Modeling stock market contagion as coupled oscillators.
problem Understanding and predicting contagion in global stock markets.
method Developed a mathematical model of stock exchanges as integrate-and-fire oscillators, incorporating behavioral delay.
result Identified key nodes and periods of vulnerability in the stock exchange network.
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 research develops a new model for cyber risk and insurance pricing.
problem Accurate calculation of aggregate losses in cyber insurance pricing.
method A path-based k-generation risk contagion model in a tree-shaped network structure.
result Explicit expressions for mean and variance of local loss on a single path.
Study quantifies financial contagion risks in supply chains.
problem Supply chain shocks contribute to financial losses.
method Multi-layer network framework, micro-dataset of Hungarian firms.
result Supply chain shocks amplify financial losses by 4-3x.
Model financial contagion and capital regulation under price impacts.
problem Analyzing financial contagion and capital regulation in a price-mediated system.
method Continuous-time model with risk-weight constraints, analytical bounds, and stress testing.
result Existence and uniqueness of firm behavior and asset prices under risk-weights.
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…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default…
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scena…