Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction

Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank's systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available.Comment: 36 pages, 6 figures, Accepted on Journal of Economic Dynamics and Contro

ACMiner: Extraction and Analysis of Authorization Checks in Android's Middleware

Billions of users rely on the security of the Android platform to protect phones, tablets, and many different types of consumer electronics. While Android's permission model is well studied, the enforcement of the protection policy has received relatively little attention. Much of this enforcement is spread across system services, taking the form of hard-coded checks within their implementations. In this paper, we propose Authorization Check Miner (ACMiner), a framework for evaluating the correctness of Android's access control enforcement through consistency analysis of authorization checks. ACMiner combines program and text analysis techniques to generate a rich set of authorization checks, mines the corresponding protection policy for each service entry point, and uses association rule mining at a service granularity to identify inconsistencies that may correspond to vulnerabilities. We used ACMiner to study the AOSP version of Android 7.1.1 to identify 28 vulnerabilities relating to missing authorization checks. In doing so, we demonstrate ACMiner's ability to help domain experts process thousands of authorization checks scattered across millions of lines of code

Scalable secure multi-party network vulnerability analysis via symbolic optimization

Threat propagation analysis is a valuable tool in improving the cyber resilience of enterprise networks. As these networks are interconnected and threats can propagate not only within but also across networks, a holistic view of the entire network can reveal threat propagation trajectories unobservable from within a single enterprise. However, companies are reluctant to share internal vulnerability measurement data as it is highly sensitive and (if leaked) possibly damaging. Secure Multi-Party Computation (MPC) addresses this concern. MPC is a cryptographic technique that allows distrusting parties to compute analytics over their joint data while protecting its confidentiality. In this work we apply MPC to threat propagation analysis on large, federated networks. To address the prohibitively high performance cost of general-purpose MPC we develop two novel applications of optimizations that can be leveraged to execute many relevant graph algorithms under MPC more efficiently: (1) dividing the computation into separate stages such that the first stage is executed privately by each party without MPC and the second stage is an MPC computation dealing with a much smaller shared network, and (2) optimizing the second stage by treating the execution of the analysis algorithm as a symbolic expression that can be optimized to reduce the number of costly operations and subsequently executed under MPC.We evaluate the scalability of this technique by analyzing the potential for threat propagation on examples of network graphs and propose several directions along which this work can be expanded