Interlinkages and structural changes in cross-border liabilities: a network approach

We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank international market is contained in a space of small dimension, from which a topological characterization could be conveniently carried out. Weighted and complete networks of financial linkages across countries are developed, for which continuous clustering, degree centrality and closeness centrality are computed. The behavior of these topological coefficients reveals an important modification acting in the financial linkages in the period 1997-2011. Here we show that, besides the generalized clustering increase, there is a persistent increment in the degree of connectivity and in the closeness centrality of some countries. These countries seem to correspond to critical locations where tax policies might provide opportunities to shift debts. Such critical locations highlight the role that specific countries play in the network structure and helps to situates the turbulent period that has been characterizing the global financial system since the Summer 2007 as the counterpart of a larger structural change going on for a more than one decade.Comment: 24 pages, 11 figure

Network based scoring models to improve credit risk management in peer to peer lending platforms

Financial intermediation has changed extensively over the course of the last two decades. One of the most significant change has been the emergence of FinTech. In the context of credit services, fintech peer to peer lenders have introduced many opportunities, among which improved speed, better customer experience, and reduced costs. However, peer-to-peer lending platforms lead to higher risks, among which higher credit risk: not owned by the lenders, and systemic risks: due to the high interconnectedness among borrowers generated by the platform. This calls for new and more accurate credit risk models to protect consumers and preserve financial stability. In this paper we propose to enhance credit risk accuracy of peer-to-peer platforms by leveraging topological information embedded into similarity networks, derived from borrowers' financial information. Topological coefficients describing borrowers' importance and community structures are employed as additional explanatory variables, leading to an improved predictive performance of credit scoring models

Better to stay apart: asset commonality, bipartite network centrality, and investment strategies

By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the Average Commonality Coefficient (ACC), which measures how frequently the assets in the fund portfolio are present in the portfolios of the other funds of the market. This indicator reflects the investment behavior of funds' managers as a function of the popularity of the assets they held. We show that $ACC$ provides useful information to discriminate between funds investing in niche markets and those investing in more popular assets. More importantly, we find that $ACC$ is able to provide indication on the performance of the funds. In particular, we find that funds investing in less popular assets generally outperform those investing in more popular financial instruments, even when correcting for standard factors. Moreover, funds with a low $ACC$ have been less affected by the 2007-08 global financial crisis, likely because less exposed to fire sales spillovers.Comment: 38 pages, 6 figure

On totally decomposable abelian GG-curves and special subvarieties

We consider totally decomposable families of abelian Galois coverings, i.e. such that the Jacobian of the general element is isogenous to a product of elliptic curves. We characterize when they yield a special subvariety of \A_g

Generic Torelli for coverings of plane quintics ramified in two points

The aim of this paper to prove that the ramified Prym map restricted to the locus of coverings of quintic plane curves ramified in 2 points is generically injective

Shimura subvarieties via endomorphisms

We prove that there exist two families in $\mathcal{M}_2, \mathcal{M}_3$ of non-Galois covers of the projective line whose Jacobians trace out Shimura subvarieties of $\mathcal{A}_2, \mathcal{A}_3$. They provide the first two explicit examples of Shimura subvarieties obtained by means of Jacobians carrying non-trivial endomorphisms not directly induced by the automorphisms of the curves. We also obtain a new example of a positive dimensional family of special Pryms in $\mathcal{A}_4^\delta$

Cyclic Coverings of genus 2 curves of Sophie Germain type

We consider cyclic unramified coverings of degree d of irreducible complex smooth genus 2 curves and their corresponding Prym varieties. They provide natural examples of polarized abelian varieties with automorphisms of order d. The rich geometry of the associated Prym map, has been studied in several papers, and the cases d=2, 3, 5, 7 are quite well-understood. Nevertheless, very few is known for higher values of d. In this article we investigate if the covering can be reconstructed from its Prym variety, that is, if the generic Prym Torelli Theorem holds for these coverings. We prove this is so for the so-called Sophie Germain prime numbers, that is, for $d\ge 11$ prime such that $(d-1)/2$ is also prime. We use results of arithmetic nature on $GL_2$-type abelian varieties combined with theta-duality techniques

Shimura subvarieties via endomorphisms

We prove that there exist two families in $\mathcal{M}_2, \mathcal{M}_3$ of non-Galois covers of the projective line whose Jacobians trace out Shimura subvarieties of $\mathcal{A}_2, \mathcal{A}_3$. They provide the first two explicit examples of Shimura subvarieties obtained by means of Jacobians carrying non-trivial endomorphisms not directly induced by the automorphisms of the curves. We also obtain a new example of a positive dimensional family of special Pryms in $\mathcal{A}_4^\delta$