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 controlled contagion with state-dependent killing, proving a comparison principle.
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…
Paper proposes methods to reduce financial contagion by targeted cash injections.
Optimal credit and consumption strategies in a switching market with default contagion.
This paper develops a new framework to assess crypto portfolio risk using simulation methods.
Analyzing a comprehensive news dataset, we document that joint news coverage triggers attention contagion, causing temporarily inflated valuations for affected stocks. Tracing SEC EDGAR visits from unique IPs, we provide direct evidence of attention spillovers between stocks. Stocks with greater joint news coverage exh…
Method reconstructs networks from contagion dynamics.
Contagion maps detect network structure in noisy data.
Study optimizes investment strategies in markets with contagious price jumps.
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has countable states and is unobservable. The stochastic control problem is formulated …
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.
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
Model shows wealth taxes can cause sudden emigration waves, impacting GDP.
This paper examines how the U.S.--China trade war affects stock markets, finding evidence of financial contagion and changes in risk channels.
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…
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…
Study uses Hawkes processes to analyze stock market contagion in China.
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…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under regime-switching risk. Default events have an impact on the distress state of the…
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…
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…
Measures risk contagion in financial networks using CoVaR.
Deep learning predicts contagion dynamics on complex networks.
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating data from the largest European banks. Then, an optimal control problem is formula…
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…
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. …
Study quantifies financial contagion risks in supply chains.
Investigates how options can control systemic risk in portfolios.
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize the value function, we investigate the corresponding recursive infinite-dimensi…
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 …
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.
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…
Influential node detection is a central research topic in social network analysis. Many existing methods rely on the assumption that the network structure is completely known \textit{a priori}. However, in many applications, network structure is unavailable to explain the underlying information diffusion phenomenon. To…