Network theory
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
Universalities in the dynamics of cryptocurrencies: stability, scaling and size
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
In search of lost edges: a case study on reconstructing financial networks
In this paper, the authors review the different methods designed to estimate matrixes from their marginals and potentially exogenous information.
Network sensitivity of systemic risk
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 econophysics of asset prices, returns and multiple expectations
The author models interactions between financial transactions and expectations and describe asset pricing and return disturbances.
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Should we invest more in multinational companies when domestic markets decline?
This paper uses a twenty-year data set of all publicly listed US firms from 1995 to 2014 to create a unique measure of both the extent and the scope of firm-level multinationality.
Interdependencies in the euro area derivatives clearing network: a multilayer network approach
This paper provides insight into how the collected data pursuant to the EMIR can be used to shed light on the complex network of interrelations underlying the financial markets.
Mapping bank securities across euro area sectors: comparing funding and exposure networks
In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach.
Scoring models for roboadvisory platforms: a network approach
In this paper, the authors show how to exploit the available data to build portfolios that better fit the risk profiles of investors. This is made possible, on the one hand, by constructing groups of homogeneous risk profiles based on user responses to…
Credit rating analysis based on the network of trading information
In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
Default cascades and systemic risk on different interbank network topologies
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.
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Banks grapple with social media risk
In shadow of Metro Bank WhatsApp episode, panellists warn banks need to deftly handle social media blow-ups
Harmonic distances, centralities and systemic stability in heterogeneous interbank networks
This paper investigates the effects of contagion in interbank-lending networks, with a special focus on the theoretical grounding of centrality measures.
Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
Networks of common asset holdings: aggregation and measures of vulnerability
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
Computational analysis of structural properties of economic and financial networks
This paper surveys the use of networks and network-based methods to study economy- related questions.