Interplay between consensus and coherence in a model of interacting opinions

publisher: Elsevier articletitle: Interplay between consensus and coherence in a model of interacting opinions journaltitle: Physica D: Nonlinear Phenomena articlelink: http://dx.doi.org/10.1016/j.physd.2015.10.013 content_type: article copyright: © 2015 Elsevier B.V. All rights reserved.F.B., V.N. and V.L. acknowledge support from the Project LASAGNE, Grant No. 318132 (STREP), funded by the European Commission. This research utilized Queen Mary’s MidPlus computational facilities, supported by QMUL Research-IT and funded by EPSRC grant EP/K000128/1

How does risk flow in the credit default swap market?

We develop a framework to analyse the credit default swap (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a result of intermediation. This architecture shows three distinct sets of counterparties: (i) Ultimate Risk Sellers (URS), (ii) Dealers (indirectly connected to each other), (iii) Ultimate Risk Buyers (URB). We show that the probability of widespread distress due to counterparty risk is higher in a bow-tie architecture than in more fragmented network structures. Empirically, we analyse a unique global dataset of bilateral CDS exposures on major sovereign and financial reference entities in 2011–2014. We find the presence of a bow-tie network architecture consistently across both reference entities and time, and that the flow-of-risk originates from a large number of URSs (e.g. hedge funds) and ends up in a few leading URBs, most of which are non-banks (in particular asset managers). Finally, the analysis of the CDS portfolio composition of the URBs shows a high level of concentration: in particular, the top URBs often show large exposures to potentially correlated reference entities

Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches

The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical forecasting have seen to be inadequate to describe financial systems in any reasonable way. A more natural approach is to treat financial systems as complex networks of claims and obligations between various financial institutions present in an economy. The generic framework of complex networks has been successfully applied across several disciplines, e.g., explaining cascading failures in power transmission systems and epidemic spreading. Here we review various network models addressing financial contagion via direct inter-bank contracts and indirectly via overlapping portfolios of financial institutions. In particular, we discuss the implications of the "robust-yet-fragile" nature of financial networks for cost-effective regulation of systemic risk.Comment: 19 pages, 7 figure

Neurofibromatosis type-1 with retinal microvascular corkscrew tortuosity.

No abstract available