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 …

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 visible …

As the total value of the global financial market outgrew the value of the real economy,
financial institutions created a global web of interactions that embodies systemic risks. …

A growing number of systems are represented as networks whose architecture conveys
significant information and determines many of their properties. Examples of network …

We propose a dynamic network model where two mechanisms control the probability of a
link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-…

One way systemic risk can crystallise is through fire sales of commonly held assets. This
paper examines fire sale vulnerabilities across different types of financial institution, including …

The topological properties of interbank networks have been discussed widely in the literature
mainly because of their relevance for systemic risk. Here we propose to use the Stochastic …

We demonstrate a novel application of online transfer learning for a digital assets trading
agent. This agent uses a powerful feature space representation in the form of an echo state …

Inferring causal relationships in observational time series data is an important task when
interventions cannot be performed. Granger causality is a popular framework to infer potential …

Solvency contagion risk is a key channel through which systemic risk can come about. We
introduce a model that accounts not only for losses transmitted after banks default, but also for …