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Network valuation in financial systems

PBP. BaruccaMBM. BardosciaGCG. CaldarelliFCMDGVSB Mathematical Finance

Network valuation in financial systems

Consistent valuation of interbank claims within an interconnected financial system can be found with a recursive update of banks' equities.

From ecology to finance (and back?): a review on entropy-based null models for the analysis of bipartite networks

GCG. CaldarelliMSTSFS Journal of Statistical Physics

From ecology to finance

Bipartite networks model the structures of ecological and economic real-world systems, enabling hypothesis testing and crisis forecasting.

Enhanced capital-asset pricing model for bipartite financial networks reconstruction

GCG. CaldarelliTSGC Physical Review E

Enhanced capital-asset pricing model for bipartite financial networks reconstruction

The challenge of statistical reconstruction is using the limited available information to predict stock holdings.

Pathways towards instability in financial networks

MBM. BardosciaGCG. CaldarelliSBFC Nature Communications

Pathways towards instability

Processes believed to stabilize financial markets can drive them towards instability by creating cyclical structures that amplify distress.

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5 Proceedings of the National Academy of Sciences

The price of complexity

Increasing the complexity of the network of contracts between financial institutions decreases the accuracy of estimating systemic risk.

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4 PLOS ONE

DebtRank: a microscopic foundation for shock propagation

The DebtRank algorithm was introduced to account for the build-up of distress in the markets, before the occurrence of defaults.

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3 Network Theory of Finance

How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation

We assess the fragility of the interbank lending market from 2004 to 2013

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3 Scientific Reports

Credit default swaps networks and systemic risk

CDS spreads over time for the selected institutions

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6 Scientific Reports

Evolution of controllability in interbank networks

External inputs allow us to control the state of the interbank lending network.

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6 PLoS ONE

Web search queries can predict stock market volumes

Graphical illustration of the analysis presented in this paper.