Interaction uncertainty in financial networks

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks’ states, the interaction correction to the stress expectation is derived and studied on the short-medium timescale in an expansion. It is shown that, while different interaction matrices can amplify or absorb fluctuations, on average interactions increase the stress expectation. More in general, this analytical framework enables to estimate the impact of the uncertainty about financial exposures, and to draw conclusions about the importance of disclosure.

Authors

Publication Details

Journal
Chaos Solitons & Fractals
Published
2024-09-10
DOI
https://doi.org/10.1016/j.chaos.2024.115468
Citations
2
Primary Topic
Complex Systems and Time Series Analysis
Type
article
Field-Weighted Citation Impact
2.26
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Interaction uncertainty in financial networks

Andrea Auconi
2 citations
Chaos Solitons & Fractals
Complex Systems and Time Series Analysis
2.26
article

Interaction uncertainty in financial networks

Andrea Auconi
article en
2 citations

Abstract

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks’ states, the interaction correction to the stress expectation is derived and studied on the short-medium timescale in an expansion. It is shown that, while different interaction matrices can amplify or absorb fluctuations, on average interactions increase the stress expectation. More in general, this analytical framework enables to estimate the impact of the uncertainty about financial exposures, and to draw conclusions about the importance of disclosure.

Chaos Solitons & FractalsVol. 188
Openalex Percentile: Top 8%
Complex Systems and Time Series Analysis
2.26
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.