Download or read book Econophysics of Systemic Risk and Network Dynamics written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2012-08-08 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and analyzing systemic risk, network dynamics and other topics. Of primary interest in these studies is the aspect of systemic risk, which has long been identified as a potential scenario in which financial institutions trigger a dangerous contagion mechanism, spreading from the financial economy to the real economy. This type of risk, long confined to the monetary market, has spread considerably in the recent past, culminating in the subprime crisis of 2008. As such, understanding and controlling systemic risk has become an extremely important societal and economic challenge. The Econophys-Kolkata VI conference proceedings are dedicated to addressing a number of key issues involved. Several leading researchers in these fields report on their recent work and also review contemporary literature on the subject.

Download or read book Dynamic Systemic Risk Networks written by Sanjiv Ranjan Das and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a theory-driven framework for monitoring system-wide risk. Our approach extends the one-firm Merton (1974) credit risk model to a generalized stochastic network-based framework across all financial institutions, comprising a novel approach to measuring systemic risk over time. We develop four desired properties for any systemic risk measure. We also develop measures for the risks created by each individual institution and a measure for risk created by each pairwise connection between institutions. Four specific implementation models are then explored, and brief empirical examples illustrate the ease of implementation of these four models and show general consistency between their results.

Download or read book Systemic Risk written by Prasanna Gai and published by Oxford University Press. This book was released on 2013-03-28 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.

Download or read book Contagion Systemic Risk in Financial Networks written by T. R. Hurd and published by Springer. This book was released on 2016-05-25 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.

Download or read book Systemic Risk and the Dynamics of Financial Networks written by Rui Gong and published by . This book was released on 2016 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics of financial networks; and second, to construct a discounted stochastic game (DSG) model of the emergence of equilibrium network dynamics that fully takes into account the feedback between network structure, strategic behavior, and risk. Based on our definition of systemic risk we also propose a formal definition of tipping points. Using these tools we then provide a strategic approach to making global assessments of systemic risk in financial networks. Our approach is based on three key facts: (1) the equilibrium dynamics which emerge from the game of network formation generate finitely many disjoint basins of attraction as well as finitely many ergodic measures (implying that, starting from any financial network, in finite time with probability one, the dynamic sequence of financial networks arrives at one of these basins and once there stays there), (2) each basin of attraction is homogenous with respect to its default characteristics (meaning that if a basin contains states having a particular set of defaulted players, then all states contained in this basin have the same set of defaulted players), and (3) the unique profile of basins generated by the equilibrium dynamics carries with it a unique set of tipping points (special states) - and these tipping points provide an early warning of network failure.

Download or read book The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk written by Xingmin Zhang and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard spatial time-series models for financial networks can fail substantially in uncovering empirical network and risk dynamics. We propose a novel empirical spatial modeling framework that solves this problem by accommodating both heterogeneity and time-variation in economic connections and spillovers. While highly flexible, the model is still straightforward to estimate. We apply the model to several datasets for Eurozone sovereign credit risk during the sovereign debt crisis. Accounting for heterogeneity and time-variation turns out to be empirically important and the new model uncovers intuitive patterns that would go unnoticed otherwise in currently available homogeneous and/or static spatial financial network models.

Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Download or read book Systemic Risk and the Dynamics of Temporary Financial Networks written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Systemic Risk written by Prasanna Gai and published by OUP Oxford. This book was released on 2013-03-28 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Systemic Risk opens new ground in the study of financial crises. It treats the financial system as a complex adaptive system and shows how lessons from network disciplines - such as ecology, epidemiology, and statistical mechanics - shed light on our understanding of financial stability. Using tools from network theory and economics, it suggests that financial systems are robust-yet-fragile, with knife-edge properties that are greatly exacerbated by the hoarding of funds and the fire sale of assets by banks. This book studies the damaging network consequences of the failure of large inter-connected institutions, explains how key funding markets can seize up across the entire financial system, and shows how the pursuit of secured finance by banks in the wake of the global financial crisis can generate systemic risks. The insights are then used to model banking systems calibrated to data to illustrate how financial sector regulators are beginning to quantify financial system stress.

Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich and published by University of Chicago Press. This book was released on 2013-01-24 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.

Download or read book Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone written by Monica Billio and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the dynamic relationships between ten stock exchanges of the euro zone using Granger causal networks. Using returns for which we allow the variance to follow a Markov-Switching GARCH or a Changing-Point GARCH, we first show that over different periods, the topology of the network is highly unstable. In particular, over very recent years, dynamic relationships vanish. Then, expanding on this idea, we analyze patterns of information transmission. Using rolling windows to analyze the topologies of the network in terms of clustering, we show that the nodes' state changes continually, and that the system exhibits a high degree of flickering in information transmission. During periods of flickering, the system also exhibits desynchronization in the information transmission process. These periods do precede tipping points or phase transitions on the market, especially before the global financial crisis, and can thus be used as early warnings of phase transitions. To our knowledge, this is the first time that flickering clusters are identified on financial markets, and that flickering is related to phase transitions.

Download or read book Shadow Banks and Systemic Risks written by Rui Gong and published by . This book was released on 2016 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of unregulated shadow banks? In order to answer this question, we introduce a formal definition of systemic risk based on the equilibrium state dynamics generated by a dynamic, stochastic game of network formation with banks, shadow banks, and the real economy as players. Based on the equilibrium dynamics, we discuss the properties of equilibrium financial networks. The predictions of the model are consistent with empirical evidence in the literature. Our analysis makes clear the systemic importance of connections between commercial banks and shadow banks in determining the health of the entire financial network. Lastly, but most importantly, we give a definition of systemic risk based on equilibrium dynamics, and therefore, a definition which takes into account the strategic interactions of financial institutions when facing different regulatory policies. Given our definition of systemic risk, we discuss various policies for regulating the financial system. Then, specializing our dynamic stochastic game model to a more basic model in which banks and shadow banks form a network including connections to the real economy, we show, via numerical simulations of our stochastic game model under various regulatory regimes, that imposing bank regulations not faced by shadow banks does indeed increase systemic risk throughout the financial network.

Download or read book Dynamic Network Theory written by James D. Westaby and published by American Psychological Association (APA). This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Social networks surround us. They are as diverse as a local community trying to help solve a neighborhood crime, a firm wondering how to streamline decision making, or a terrorist cell figuring out how to plan an attack without central coordination. This groundbreaking book explores social networks in formal and informal organizations, using a combination of approaches from social psychology, I/O psychology, organization/management science, social learning, and helping skills. A quantum advance over conventional social network analysis, Dynamic Network Theory examines how social networks articulate goals and generate social capital at various levels. Geared for researchers and practitioners, Dynamic Network Theory is also written for graduate students and advanced undergraduate students. Appendixes include primers on designing and analyzing dynamic network charts.

Download or read book Supernetworks and Systemic Risk written by Frank H. Page and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We give a formal and computable definition of systemic risk that is firmly grounded in network dynamics and using our definition we show that the dynamics driving network formation generate a finite set of basins of attraction. The presence of basins of attraction has major implications for our understanding of systemic risk. First, we show that each basin is homogeneous with respect to its network failure characteristics. Second, we show that the profile of basins comes equipped with a unique set of tipping points. Thus, using our definition of systemic risk, we formally define the notion of a tipping point. Each tipping point is the gateway to some sequence of future networks leading inexorably to some basin, and depending on the failure characteristics of this basin, this sequence might best be described as a failure cascade. Thus, tipping points are the supernetwork's early warning system for network failure. Finally, we define and characterize the notions of systemic and killer nodes. The big picture take away from our approach to systemic risk is that what is critical in assessing systemic risk is the allocation of failure levels across the basins of attraction.

Download or read book The Oxford Handbook of the Economics of Networks written by Yann Bramoullé and published by Oxford University Press. This book was released on 2016-03-01 with total page 857 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics. From a methodological perspective, the contributors to this volume devote attention to theory, field experiments, laboratory experiments, and econometrics. Theoretical work in network formation, games played on networks, repeated games, and the interaction between linking and behavior is synthesized. A number of chapters are devoted to studying social process mediated by networks. Topics here include opinion formation, diffusion of information and disease, and learning. There are also chapters devoted to financial contagion and systemic risk, motivated in part by the recent financial crises. Another section discusses communities, with applications including social trust, favor exchange, and social collateral; the importance of communities for migration patterns; and the role that networks and communities play in the labor market. A prominent role of networks, from an economic perspective, is that they mediate trade. Several chapters cover bilateral trade in networks, strategic intermediation, and the role of networks in international trade. Contributions discuss as well the role of networks for organizations. On the one hand, one chapter discusses the role of networks for the performance of organizations, while two other chapters discuss managing networks of consumers and pricing in the presence of network-based spillovers. Finally, the authors discuss the internet as a network with attention to the issue of net neutrality.

Download or read book Dynamic Analysis in Complex Economic Environments written by Herbert Dawid and published by Springer Nature. This book was released on 2020-12-22 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses decision-making in dynamic economic environments. By applying a wide range of methodological approaches, combining both analytical and computational methods, the contributors examine various aspects of optimal firm behaviour and relevant policy areas. Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation. This book is dedicated to Christophe Deissenberg, a well-known and distinguished scholar of economic dynamics and computational economics. It appeals to academics in the areas of optimal control, dynamic games and computational economics as well as to decision-makers working in policy domains such as environmental policy.

Download or read book Agent Based Modeling and Network Dynamics written by Akira Namatame and published by Oxford University Press. This book was released on 2016-01-28 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the significance of networks in various human behavior and activities has a history as long as human's existence, network awareness is a recent scientific phenomenon. The neologism network science is just one or two decades old. Nevertheless, with this limited time, network thinking has substantially reshaped the recent development in economics, and almost all solutions to real-world problems involve the network element. This book integrates agent-based modeling and network science. It is divided into three parts, namely, foundations, primary dynamics on and of social networks, and applications. The authors begin with the network origin of agent-based models, known as cellular automata, and introduce a number of classic models, such as Schelling's segregation model and Axelrod's spatial game. The essence of the foundation part is the network-based agent-based models in which agents follow network-based decision rules. Under the influence of the substantial progress in network science in late 1990s, these models have been extended from using lattices into using small-world networks, scale-free networks, etc. The text also shows that the modern network science mainly driven by game-theorists and sociophysicists has inspired agent-based social scientists to develop alternative formation algorithms, known as agent-based social networks. It reviews a number of pioneering and representative models in this family. Upon the given foundation, the second part reviews three primary forms of network dynamics, such as diffusions, cascades, and influences. These primary dynamics are further extended and enriched by practical networks in goods-and-service markets, labor markets, and international trade. At the end, the book considers two challenging issues using agent-based models of networks: network risks and economic growth.