PB
MB
GC
FCMDGVSB 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.
GCMSTSFS 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.
GCTSGC 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.
MBGCSBFC Nature Communications
Pathways towards instability
Processes believed to stabilize financial markets can drive them towards instability by creating cyclical structures that amplify distress.
Mitigating cascades in sandpile models: an immunization strategy for systemic risk?
Cascades on a random graph
The price of complexity
Increasing the complexity of the network of contracts between financial institutions decreases the accuracy of estimating systemic risk.
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.
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
Credit default swaps networks and systemic risk
CDS spreads over time for the selected institutions
Evolution of controllability in interbank networks
External inputs allow us to control the state of the interbank lending network.
Web search queries can predict stock market volumes
Graphical illustration of the analysis presented in this paper.