283 citations · 1.6k across the 46 of their papers we have counts for
7 papers · 1 filter
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…
Emergence of strongly connected giant components in continuum disk-spin percolation
Francesco Caravelli, Marco Bardoscia, Fabio Caccioli
We propose a continuum model of percolation in two dimensions for overlapping disks with spin. In this model the existence of bonds is determined by the distance between the center…
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…
Optimal growth trajectories with finite carrying capacity
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli +1
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is s…
Taming the Basel Leverage Cycle
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer +1
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic i…
DebtRank: A microscopic foundation for shock propagation
Marco Bardoscia, Stefano Battiston, Fabio Caccioli +1
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional def…