An economic model of contagion in interbank lending markets

This paper considers the stability of a financial system in which heterogenous banks interact through a lending market. We analyse a discrete time model in which households and banks are located on a circular city. Households present banks with risky investment opportunities, which banks fund through deposits and interbank borrowing. In the event of bankruptcy, a bank defaults on its interbank loans potentially resulting in contagion and losses for other banks. Through simulation we examine the vulnerability of the financial system to systemic events, demonstrating the non-linear relationship between market concentration, shock severity and bankruptcies. The role and effect of regulatory actions such as reserve requirements, minimum bank capitalisation and constraints on the size of borrowing relationships, are considered in limiting these effects.Systemic risk; Interbank lending; Regulation; Network; Heterogeneity

Optimal Network Compression

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network. We prove that this problem is, generically, NP-hard. We focus on objective functions generated by systemic risk measures under shocks to the financial network. We use this framework to study the (sub)optimality of the maximally compressed network. We conclude by studying the optimal compression problem for specific networks; this permits us to study, e.g., the so-called robust fragility of certain network topologies more generally as well as the potential benefits and costs of network compression. In particular, under systematic shocks and heterogeneous financial networks the robust fragility results of Acemoglu et al. (2015) no longer hold generally.Comment: 34 pages, 10 figure

Computational design and designability of gene regulatory networks

Nuestro conocimiento de las interacciones moleculares nos ha conducido hoy hacia una perspectiva ingenieril, donde diseños e implementaciones de sistemas artificiales de regulación intentan proporcionar instrucciones fundamentales para la reprogramación celular. Nosotros aquí abordamos el diseño de redes de genes como una forma de profundizar en la comprensión de las regulaciones naturales. También abordamos el problema de la diseñabilidad dada una genoteca de elementos compatibles. Con este fin, aplicamos métodos heuríticos de optimización que implementan rutinas para resolver problemas inversos, así como herramientas de análisis matemático para estudiar la dinámica de la expresión genética. Debido a que la ingeniería de redes de transcripción se ha basado principalmente en el ensamblaje de unos pocos elementos regulatorios usando principios de diseño racional, desarrollamos un marco de diseño computacional para explotar este enfoque. Modelos asociados a genotecas fueron examinados para descubrir el espacio genotípico asociado a un cierto fenotipo. Además, desarrollamos un procedimiento completamente automatizado para diseñar moleculas de ARN no codificante con capacidad regulatoria, basándonos en un modelo fisicoquímico y aprovechando la regulación alostérica. Los circuitos de ARN resultantes implementaban un mecanismo de control post-transcripcional para la expresión de proteínas que podía ser combinado con elementos transcripcionales. También aplicamos los métodos heurísticos para analizar la diseñabilidad de rutas metabólicas. Ciertamente, los métodos de diseño computacional pueden al mismo tiempo aprender de los mecanismos naturales con el fin de explotar sus principios fundamentales. Así, los estudios de estos sistemas nos permiten profundizar en la ingeniería genética. De relevancia, el control integral y las regulaciones incoherentes son estrategias generales que los organismos emplean y que aquí analizamos.Rodrigo Tarrega, G. (2011). Computational design and designability of gene regulatory networks [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/1417

Flow-Based Network Analysis of the Caenorhabditis elegans Connectome

We exploit flow propagation on the directed neuronal network of the nematode C. elegans to reveal dynamically relevant features of its connectome. We find flow-based groupings of neurons at different levels of granularity, which we relate to functional and anatomical constituents of its nervous system. A systematic in silico evaluation of the full set of single and double neuron ablations is used to identify deletions that induce the most severe disruptions of the multi-resolution flow structure. Such ablations are linked to functionally relevant neurons, and suggest potential candidates for further in vivo investigation. In addition, we use the directional patterns of incoming and outgoing network flows at all scales to identify flow profiles for the neurons in the connectome, without pre-imposing a priori categories. The four flow roles identified are linked to signal propagation motivated by biological input-response scenarios