In this paper, the authors review the different methods designed to estimate matrixes from their marginals and potentially exogenous information.
This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies.
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network position of a firm on extreme price movement.
This paper investigates the systemic risk of China’s banking sector via network analysis and differential DebtRank from 2007 to 2016.
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
This paper surveys the use of networks and network-based methods to study economy- related questions.
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards development
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
In this paper, the author builds dynamic networks based on correlation and transfer entropy, using both the log returns and the volatilities of 97 stock market indexes from various parts of the world between 2000 and 2016
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
New FSB analysis reveals interdependencies of clearing system
Isda AGM: New analysis – due next month – looks at clearing network risks
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Loosely connected assets are better protected against market crashes
Model points to risks of core-periphery structure
Bank networks evolve to be liquid but unstable, new research shows
Stability improves, but higher capital requirements also cut lending in new research