2,962 research outputs found

    Compressibility and probabilistic proofs

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    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

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    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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