Consistent valuation of interbank claims within an interconnected financial system can be found with a recursive update of banks' equities.
Bipartite networks model the structures of ecological and economic real-world systems, enabling hypothesis testing and crisis forecasting.
The challenge of statistical reconstruction is using the limited available information to predict stock holdings.
Processes believed to stabilize financial markets can drive them towards instability by creating cyclical structures that amplify distress.
Cascades on a random graph
Increasing the complexity of the network of contracts between financial institutions decreases the accuracy of estimating systemic risk.
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
External inputs allow us to control the state of the interbank lending network.