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We derive rigorous asymptotic results for the magnitude of contagion in a large counterparty network and give an analytical expression for the asymptotic fraction of defaults, in terms of network characteristics. Our results extend previous studies on cont ...
We examine the effects on a financial network of clearing all contracts though a central node (CN), thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a structural ...
SIAM PUBLICATIONS2020
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We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds ...
Elsevier Science Bv2016
We consider a stylized core-periphery financial network in which links lead to the creation of projects in the outside economy but make banks prone to contagion risk. The controller seeks to maximize, under budget constraints, the value of the financial sy ...
Siam Publications2015
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We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...
Informs2016
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Control of particles/cells and the surrounding fluid is enabling toward the purification of complex cellular samples, which still remains a bottleneck for point-of-care diagnostic devices. We explore a newly developed approach to engineer fluid stream moti ...
Springer Heidelberg2015
A bootstrap percolation process on a graph is an "infection" process which evolves in rounds. Initially, there is a subset of infected nodes and in each subsequent round each uninfected node which has at least infected neighbours becomes infected and remai ...
Springer2014
Consider a random regular graph with degree d and of size n. Assign to each edge an independent and identically distributed exponential random variable with mean one. In this paper we establish a precise asymptotic expression for the maximum number of edge ...
