30 research outputs found
Systemic risk in a network fragility model analyzed with probability density evolution of persistent random walks
We study the mean field approximation of a recent model of cascades on
networks relevant to the investigation of systemic risk control in financial
networks. In the model, the hypothesis of a trend reinforcement in the
stochastic process describing the fragility of the nodes, induces a trade-off
in the systemic risk with respect to the density of the network. Increasing the
average link density, the network is first less exposed to systemic risk, while
above an intermediate value the systemic risk increases. This result offers a
simple explanation for the emergence of instabilities in financial systems that
get increasingly interwoven. In this paper, we study the dynamics of the
probability density function of the average fragility. This converges to a
unique stable distribution which can be computed numerically and can be used to
estimate the systemic risk as a function of the parameters of the model.Comment: 20 pages, 6 figure
How Damage Diversification Can Reduce Systemic Risk
We consider the problem of risk diversification in complex networks. Nodes
represent e.g. financial actors, whereas weighted links represent e.g.
financial obligations (credits/debts). Each node has a risk to fail because of
losses resulting from defaulting neighbors, which may lead to large failure
cascades. Classical risk diversification strategies usually neglect network
effects and therefore suggest that risk can be reduced if possible losses
(i.e., exposures) are split among many neighbors (exposure diversification,
ED). But from a complex networks perspective diversification implies higher
connectivity of the system as a whole which can also lead to increasing failure
risk of a node. To cope with this, we propose a different strategy (damage
diversification, DD), i.e. the diversification of losses that are imposed on
neighboring nodes as opposed to losses incurred by the node itself. Here, we
quantify the potential of DD to reduce systemic risk in comparison to ED. For
this, we develop a branching process approximation that we generalize to
weighted networks with (almost) arbitrary degree and weight distributions. This
allows us to identify systemically relevant nodes in a network even if their
directed weights differ strongly. On the macro level, we provide an analytical
expression for the average cascade size, to quantify systemic risk.
Furthermore, on the meso level we calculate failure probabilities of nodes
conditional on their system relevance
How big is too big? Critical Shocks for Systemic Failure Cascades
External or internal shocks may lead to the collapse of a system consisting
of many agents. If the shock hits only one agent initially and causes it to
fail, this can induce a cascade of failures among neighoring agents. Several
critical constellations determine whether this cascade remains finite or
reaches the size of the system, i.e. leads to systemic risk. We investigate the
critical parameters for such cascades in a simple model, where agents are
characterized by an individual threshold \theta_i determining their capacity to
handle a load \alpha\theta_i with 1-\alpha being their safety margin. If agents
fail, they redistribute their load equally to K neighboring agents in a regular
network. For three different threshold distributions P(\theta), we derive
analytical results for the size of the cascade, X(t), which is regarded as a
measure of systemic risk, and the time when it stops. We focus on two different
regimes, (i) EEE, an external extreme event where the size of the shock is of
the order of the total capacity of the network, and (ii) RIE, a random internal
event where the size of the shock is of the order of the capacity of an agent.
We find that even for large extreme events that exceed the capacity of the
network finite cascades are still possible, if a power-law threshold
distribution is assumed. On the other hand, even small random fluctuations may
lead to full cascades if critical conditions are met. Most importantly, we
demonstrate that the size of the "big" shock is not the problem, as the
systemic risk only varies slightly for changes of 10 to 50 percent of the
external shock. Systemic risk depends much more on ingredients such as the
network topology, the safety margin and the threshold distribution, which gives
hints on how to reduce systemic risk.Comment: 23 pages, 7 Figure
La creación de una sociedad del aprendizaje : un nuevo enfoque hacia el crecimiento, el desarrollo y el progreso social
1 Archivo PDF (4 páginas). magyecccResumen:
Eduardo Chávez Cruz reseña el libro “La creación de una sociedad del aprendizaje Un nuevo enfoque hacia el crecimiento, el desarrollo y el progreso social” del autor Joseph .E.Stiglitz, a partir de dos líneas principales: la primera en al que presenta los conceptos básicos de la sociedad del aprendizaje y la segunda dónde explica los lineamientos necesarios para el surgimiento de la sociedad del aprendizaje. Incluye las críticas realizadas por el autor del libro acerca de la influencia del aprendizaje en el mejoramiento del nivel de vida y las diferencias acerca de la difusión del conocimiento entre los países desarrollados y los subdesarrollados. Comenta la incapacidad de los países para producir innovación, la necesidad de abandonar los modelos clásicos de enseñanza y el establecimiento de políticas para crear una sociedad del aprendizaje.
Abstract:
Eduardo Chávez Cruz outlines the book "Creating a Learning Society A New Approach to Growth, Development and Social Progress" by author Joseph E. Stiglitz, based on two main lines: The first in which he presents the basic concepts of the learning society and the second where he explains the necessary guidelines for the emergence of the learning society. It includes criticisms made by the author of the book about the influence of learning on the improvement of living standards and the differences about the diffusion of knowledge between developed and underdeveloped countries. He comments on the inability of countries to produce innovation, the need to abandon classical models of education and the establishment of policies to create a learning society.
Palabras clave: Sociedad de la información, progreso, evolución social
Keywords: Society of Information, progress, social evolution
Diversification and Systemic Risk: A Financial Network Perspective
In this paper, we study the implications of diversification in the asset portfolios of banks
for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in
a network model of the interbank market. We carry out a simulation study that determines the
probability of a systemic crisis in the banking network as a function of both the level of diversification,
and the connectivity and structure of the financial network. In contrast to earlier studies we find that
diversification at the level of individual banks may be beneficial for financial stability even if it does
lead to a higher asset return correlation across banks
A high performance biometric signal and image processing method to reveal blood perfusion towards 3D oxygen saturation mapping
Non-contact imaging photoplethysmography (PPG) is a recent development in the field of physiological data acquisition, currently undergoing a large amount of research to characterize and define the range of its capabilities. Contact-based PPG techniques have been broadly used in clinical scenarios for a number of years to obtain direct information about the degree of oxygen saturation for patients. With the advent of imaging techniques, there is strong potential to enable access to additional information such as multi-dimensional blood perfusion and saturation mapping. The further development of effective opto-physiological monitoring techniques is dependent upon novel modelling techniques coupled with improved sensor design and effective signal processing methodologies. The biometric signal and imaging processing platform (bSIPP) provides a comprehensive set of features for extraction and analysis of recorded iPPG data, enabling direct comparison with other biomedical diagnostic tools such as ECG and EEG. Additionally, utilizing information about the nature of tissue structure has enabled the generation of an engineering model describing the behaviour of light during its travel through the biological tissue. This enables the estimation of the relative oxygen saturation and blood perfusion in different layers of the tissue to be calculated, which has the potential to be a useful diagnostic tool
Biomimetic Mineralization of Recombinamer-Based Hydrogels toward Controlled Morphologies and High Mineral Density
Producción CientíficaThe use of insoluble organic matrices as a structural template for the bottom-up fabrication of organic−inorganic nanocomposites is a powerful way to build a variety of advanced materials with defined and controlled morphologies and superior mechanical properties. Calcium phosphate mineralization in polymeric hydrogels is receiving significant attention in terms of obtaining biomimetic hierarchical structures with unique mechanical properties and understanding the mechanisms of the biomineralization process. However, integration of organic matrices with hydroxyapatite nanocrystals, different in morphology and composition, has not been well-achieved yet at nanoscale. In this study, we synthesized thermoresponsive hydrogels, composed of elastin-like recombinamers (ELRs), to template mineralization of hydroxyapatite nanocrystals using a biomimetic polymer-induced liquid-precursor (PILP) mineralization process. Different from conventional mineralization where minerals were deposited on the surface of organic matrices, they were infiltrated into the
frameworks of ELR matrices, preserving their microporous structure. After 14 days of mineralization, an average of 78 μm mineralization depth was achieved. Mineral density up to 1.9 g/cm3 was found after 28 days of mineralization, which is comparable to natural bone and dentin. In the dry state, the elastic modulus and hardness of the mineralized hydrogels were 20.3
± 1.7 and 0.93 ± 0.07 GPa, respectively. After hydration, they were reduced to 4.50 ± 0.55 and 0.10 ± 0.03 GPa, respectively.
These values were lower but still on the same order of magnitude as those of natural hard tissues. The results indicated that inorganic−organic hybrid biomaterials with controlled morphologies can be achieved using organic templates of ELRs. Notably, the chemical and physical properties of ELRs can be tuned, which might help elucidate the mechanisms by which living organisms regulate the mineralization process.Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA244U13
Pareto Optimality and Competition
The object of this paper is to show that even with apparently competitive and "efficient" markets, resource allocations may not be Pareto efficient