Naslov
Inferring default cascades in financial systems.

Autori
Barjašić, Irena ; Štefančić, Hrvoje ; Zlatić, Vinko

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
DS2019: 22nd International Conference on Discovery Science

Mjesto i datum
Split, Hrvatska, 28.10.2019. - 30.10.2019

Vrsta sudjelovanja
Poster

Vrsta recenzije
Domaća recenzija

Ključne riječi
inference on networks ; contact processes ; systemic risk and economic networks

Sažetak
In finance, cascading failures of companies are an important issue, they impose danger on all market participants, and can lead to a systemic failure. Therefore, detecting cascades is of vital importance for the market itself. We propose test statistics for inferring such behaviour in a market. In addition to realdata of company defaults, we combine two Poisson processes, to simulate the company failure process. The simulations are driven on Erdos-Renyi networks, and for each simulation, a randomized reference model is created. Using the simulated data, we aim to choose the best statistic for different ranges of network and process parameters. For quantifying the difference between statistics we used the Kolmogorov-Smirnov test.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Interdisciplinarne prirodne znanosti

POVEZANOST RADA