283 citations · 950 across the 16 of their papers we have counts for
8 papers · 1 filter
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…
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…
A Dynamical Model for Operational Risk in Banks
Marco Bardoscia
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous gen…
A Dynamical Approach to Operational Risk Measurement
Marco Bardoscia, Roberto Bellotti
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed proce…
A Dynamical Model for Forecasting Operational Losses
Marco Bardoscia, Roberto Bellotti
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into accoun…
Spin Glass Model of Operational Risk
M. Bardoscia, P. Facchi, S. Pascazio +1
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found t…