283 citations
- University College LondonGB54 papers
- London School of Economics and Political ScienceGB48 papers
- London Mathematical LaboratoryGB13 papers
- King's College LondonGB10 papers
- London Institute for Mathematical SciencesGB7 papers
- University of ZurichCH5 papers
- Eötvös Loránd UniversityHU4 papers
- IMT School for Advanced Studies LuccaIT4 papers
- Institute for Complex SystemsIT4 papers
- Parmenides FoundationDE4 papers
- Complexity Science HubAT3 papers
- Department of Science and TechnologyIN3 papers
6 papers · 1 filter
Phase transitions in debt recycling
Sabrina Aufiero, Preben Forer, Pierpaolo Vivo +2
Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds up as the mortgage is repaid m…
Network models of financial systemic risk: A review
Fabio Caccioli, Paolo Barucca, Teruyoshi Kobayashi
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visi…
Network Valuation in Financial Systems
Paolo Barucca, Marco Bardoscia, Fabio Caccioli +4
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing…
Pathways towards instability in financial networks
Marco Bardoscia, Stefano Battiston, Fabio Caccioli +1
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topo…
Distress propagation in complex networks: the case of non-linear DebtRank
Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti +2
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct…
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
Fabio Caccioli, Imre Kondor, Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar…