2,916 research outputs found
Compressibility and probabilistic proofs
We consider several examples of probabilistic existence proofs using
compressibility arguments, including some results that involve Lov\'asz local
lemma.Comment: Invited talk for CiE 2017 (full version
Default contagion risks in Russian interbank market
Systemic risks of default contagion in the Russian interbank market are
investigated. The analysis is based on considering the bow-tie structure of the
weighted oriented graph describing the structure of the interbank loans. A
probabilistic model of interbank contagion explicitly taking into account the
empirical bow-tie structure reflecting functionality of the corresponding nodes
(borrowers, lenders, borrowers and lenders simultaneously), degree
distributions and disassortativity of the interbank network under consideration
based on empirical data is developed. The characteristics of contagion-related
systemic risk calculated with this model are shown to be in agreement with
those of explicit stress tests.Comment: Final version, to appear in Physica
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