103 citations · 105 across the 4 of their papers we have counts for
4 papers · 1 filter
Conditional Forecasting of Margin Calls using Dynamic Graph Neural Networks
Matteo Citterio, Marco D'Errico, Gabriele Visentin
We introduce a novel Dynamic Graph Neural Network (DGNN) architecture for solving conditional -steps ahead forecasting problems in temporal financial networks. The proposed DGNN…
Rethinking Financial Contagion
Gabriele Visentin, Stefano Battiston, Marco D'Errico
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged afte…
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…
Leveraging the network: a stress-test framework based on DebtRank
Stefano Battiston, Marco D'Errico, Stefano Gurciullo +1
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenario…