scholarly journals Collateralized Networks

2021 ◽  
Author(s):  
Samim Ghamami ◽  
Paul Glasserman ◽  
H. Peyton Young
Keyword(s):  
Upper Bound ◽  
Financial Networks ◽  
Fire Sales ◽  
Contract Termination ◽  
The Impact

This paper studies the spread of losses and defaults in financial networks with two interrelated features: collateral requirements and alternative contract termination rules. When collateral is committed to a firm’s counterparties, a solvent firm may default if it lacks sufficient liquid assets to meet its payment obligations. Collateral requirements can, thus, increase defaults and payment shortfalls. Moreover, one firm may benefit from the failure of another if the failure frees collateral committed by the surviving firm, giving it additional resources to make other payments. Contract termination at default may also improve the ability of other firms to meet their obligations through access to collateral. As a consequence of these features, the timing of payments and collateral liquidation must be carefully specified to establish the existence of payments that clear the network. Using this framework, we show that dedicated collateral may lead to more defaults than pooled collateral, we study the consequences of illiquid collateral for the spread of losses through fire sales, we compare networks with and without selective contract termination, and we analyze the impact of alternative resolution and bankruptcy stay rules that limit the seizure of collateral at default. Under an upper bound on derivatives leverage, full termination reduces payment shortfalls compared with selective termination. This paper was accepted by Kay Giesecke, finance.

scholarly journals Influence of Anisotropy and Nonhomogeneity on Stability Analysis of Fissured Slopes Subjected to Seismic Action

2020 ◽  
Vol 2020 ◽  
pp. 1-13
Author(s):  
Zhidan Liu ◽  
Jingwu Zhang ◽  
Weiping Chen ◽  
Di Wu
Keyword(s):  
Upper Bound ◽  
Mathematical Optimization ◽  
Optimization Procedure ◽  
Seismic Action ◽  
Anisotropy Coefficient ◽  
Upper Bound Theorem ◽  
Bound Theorem ◽  
Software Codes ◽  
The Stability ◽  
The Impact

Based on the upper bound theorem of limit analysis, this paper presents a procedure for assessment of the influence of the soil anisotropy and nonhomogeneity on the stability of fissured slopes subjected to seismic action. By means of a mathematical optimization procedure written in Matlab software codes, the stability factors NS and λcφ are derived with respect to the best upper bound solutions. A series of stability charts are obtained in this paper, and then the critical locations of cracks are determined for cracks of known depth. The results demonstrate a significant influence of the soil anisotropy and nonhomogeneity on the stability of the fissured slopes and the location distribution of the cracks. In addition, the procedures for getting the factor of safety are put forward. It is shown that a decrease in the nonhomogeneity coefficient n0 and an increase in the anisotropy coefficient k could lead to the fissured slopes becoming unsafe. Finally, this article also illustrates the variation in the safety factor of fissured slopes under the impact of three factors (Kh, H1/H, and λ).

Endogenous Asset Fire Sales and Bank Lending Incentives

2020 ◽  
Vol 10 (04) ◽  
pp. 2150002
Author(s):  
Zhongzhi Song
Keyword(s):  
Cash Holdings ◽  
Bank Lending ◽  
Bank Loans ◽  
Policy Implications ◽  
Liquidity Shocks ◽  
Fire Sales ◽  
The 2008 Financial Crisis ◽  
Lending Decisions ◽  
The Impact ◽  
Capital Injections

This paper examines the impact of banks’ lending incentives on asset prices and bank cash holdings under liquidity risk. Banks make lending decisions based on the tradeoff between costs (fire sales of illiquid assets) and benefits (high returns from bank loans). This paper shows fire sales of assets can be an endogenous outcome, even if banks are endowed with enough cash to meet liquidity shocks. This paper also helps explain why banks have kept a large amount of cash without lending after government capital injections in the 2008 financial crisis. The model further provides policy implications for government intervention.

The topology of overlapping portfolio networks

2016 ◽  
Vol 33 (3-4) ◽  
Author(s):  
Weilong Guo ◽  
Andreea Minca ◽  
Li Wang
Keyword(s):  
Significant Proportion ◽  
Balance Sheet ◽  
Weak Links ◽  
Financial Networks ◽  
Degree Centrality ◽  
Number Of Clusters ◽  
Scale Free ◽  
Managed Portfolios ◽  
The Impact ◽  
Asset Holdings

AbstractThis paper analyzes the topology of the network of common asset holdings, where nodes represent managed portfolios and edge weights capture the impact of liquidations. Asset holdings data is extracted from the 13F filings. We consider the degree centrality as the degree in the subnetwork of weak links, where weak links are those that lead to significant liquidations. We explore the applications of this network representation to clustering and forecasting. To validate the weight attribution and the threshold used to define the weak links, we show that the degree centrality is correlated with excess returns, and is significant after we control for the Carhart four factors. The network of weak links has a scale free structure, similar to financial networks of balance sheet exposures. Moreover, a small number of clusters, densely linked, concentrate a significant proportion of the portfolios.

scholarly journals An upper-bound estimate for the accuracy of volume-area scaling

2013 ◽  
Vol 7 (3) ◽  
pp. 2293-2331 ◽  
Author(s):  
D. Farinotti ◽  
M. Huss
Keyword(s):  
Volume Change ◽  
Upper Bound ◽  
Synthetic Data ◽  
Volume Changes ◽  
Real World Data ◽  
Secondary Importance ◽  
Ice Volume ◽  
Volume Measurements ◽  
Upper Bound Estimate ◽  
The Impact

Abstract. Volume-area scaling is the most popular method for estimating the ice volume of large glacier samples. Here, a series of resampling experiments based on different sets of synthetic data are presented in order to derive an upper-bound estimate (i.e. a level achieved only with ideal conditions) for the accuracy of its application. We also quantify the maximum accuracy expected when scaling is used for determining the glacier volume change, and area change of a given glacier population. A comprehensive set of measured glacier areas, volumes, area and volume changes is evaluated to investigate the impact of real-world data quality on the so assessed accuracies. For populations larger than a few thousand glaciers, the total ice volume can be recovered within 30% if all measurements available worldwide are used for estimating the scaling coefficients. Assuming no systematic biases in ice volume measurements, their uncertainty is of secondary importance. Knowing the individual areas of a glacier sample for two points in time allows recovering the corresponding ice volume change within 40% for populations larger than a few hundred glaciers, both for steady-state and transient geometries. If ice volume changes can be estimated without bias, glacier area changes derived from volume-area scaling show similar uncertainties as for the volume changes. This paper does not aim at making a final judgement about the suitability of volume-area scaling, but provides the means for assessing the accuracy expected from its application.

scholarly journals Investigation on the Stability of Fissured Slopes Reinforced with Anchor Cables under Seismic Action

2021 ◽  
Vol 2021 ◽  
pp. 1-14
Author(s):  
Jingwu Zhang ◽  
Mingdong Li ◽  
Jinxiang Yi ◽  
Zhidan Liu
Keyword(s):  
Axial Force ◽  
Upper Bound ◽  
Crack Depth ◽  
Slope Angle ◽  
Optimization Procedure ◽  
Seismic Action ◽  
Upper Bound Theorem ◽  
Critical Location ◽  
The Stability ◽  
The Impact

Based on the upper bound theorem of limit analysis (UBLA) combined with the pseudostatic methods, this paper elaborates on a calculated procedure for evaluating fissured slope stability under seismic conditions reinforced with prestressed anchor cables. An existing simple slope case is presented as a case study in this work. The comparison is given to verify that the solution derived from this study is correct and feasible. By means of a numerical optimization procedure, the critical location of the crack is determined from the best upper bound solutions. The results demonstrate a significant influence of the depth of crack and seismic acceleration coefficient on the critical location distribution of the cracks. Meanwhile, the axial force of anchor cables is investigated via parametric studies. It is shown that the variation of the crack depth has little effect on the axial force of anchor cables. Moreover, this paper also illustrates the variation in the axial force of anchor cables under the impact of five marked factors (crack depth, anchor arrangement, anchor inclination angle, slope angle, and seismic conditions). Finally, the required critical length of the free section of anchor cables is determined to ensure the stability of fissured slopes subjected to seismic action.

ON THE DESCRIPTIONAL COMPLEXITY OF THE WINDOW SIZE FOR DELETING RESTARTING AUTOMATA

2013 ◽  
Vol 24 (06) ◽  
pp. 831-846 ◽  
Author(s):  
MARTIN KUTRIB ◽  
FRIEDRICH OTTO
Keyword(s):  
Upper Bound ◽  
Recursive Function ◽  
Window Size ◽  
Input Word ◽  
Trade Off ◽  
Descriptional Complexity ◽  
The Impact ◽  
Current Word ◽  
Restarting Automaton

The restarting automaton was inspired by the technique of ‘analysis by reduction’ from linguistics. A restarting automaton processes a given input word through a sequence of cycles. In each cycle the current word on the tape is scanned from left to right and a single local simplification (a rewrite) is executed. One of the essential parameters of a restarting automaton is the size of its read/write window. Here we study the impact of the window size on the descriptional complexity of several types of deterministic and nondeterministic restarting automata. For all k ≥ 4, we show that the savings in the economy of descriptions of restarting automata that can only delete symbols but not rewrite them (that is, the so-called R- and RR-automata) cannot be bounded by any recursive function, when changing from window size k to window size k + 1. This holds for deterministic as well as for nondeterministic automata, and for k ≥ 5, it even holds for the stateless variants of these automata. However, the trade-off between window sizes two and one is recursive for deterministic devices. In addition, a polynomial upper bound is given for the trade-off between RRWW-automata with window sizes k + 1 and k for all k ≥ 2.

scholarly journals Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks

Entropy ◽  
2021 ◽  
Vol 23 (11) ◽  
pp. 1465
Author(s):  
Petre Caraiani ◽  
Alexandru Vasile Lazarec
Keyword(s):  
Monetary Policy ◽  
Window Size ◽  
The United States ◽  
Von Neumann Entropy ◽  
Financial Networks ◽  
Monetary Policy Shocks ◽  
Von Neumann ◽  
Policy Shocks ◽  
Value Decomposition ◽  
The Impact

We analyze the changes in the financial network built using the Dow Jones Industrial Average components following monetary policy shocks. Monetary policy shocks are measured through unexpected changes in the federal funds rate in the United States. We determine the changes in the financial networks using singular value decomposition entropy and von Neumann entropy. The results indicate that unexpected positive shocks in monetary policy shocks lead to lower entropy. The results are robust to varying the window size used to construct financial networks, though they also depend on the type of entropy used.

scholarly journals Correcting for Non-stationarity in BOLD-fMRI Connectivity Analyses

2021 ◽  
Vol 15 ◽  
Author(s):  
Catherine E. Davey ◽  
David B. Grayden ◽  
Leigh A. Johnston
Keyword(s):  
Empirical Evidence ◽  
Upper Bound ◽  
Signal Intensity ◽  
Time Varying ◽  
Signal Power ◽  
Inverse Gamma ◽  
Sample Correlation ◽  
Non Stationary Signal ◽  
The Impact ◽  
Theoretical Results

In this work fMRI BOLD datasets are shown to contain slice-dependent non-stationarities. A model containing slice-dependent, non-stationary signal power is proposed to address time-varying signal power during BOLD data acquisition. The impact of non-stationary power on functional MRI connectivity is analytically derived, establishing that pairwise connectivity estimates are scaled by a function of the time-varying signal power, with magnitude upper bound by 1, and that the variance of sample correlation is increased, thereby inducing spurious connectivity. Consequently, we make the observation that time-varying power during acquisition of BOLD timeseries has the propensity to diminish connectivity estimates. To ameliorate the impact of non-stationary signal power, a simple correction for slice-dependent non-stationarity is proposed. Our correction is analytically shown to restore both signal stationarity and, subsequently, the integrity of connectivity estimates. Theoretical results are corroborated with empirical evidence demonstrating the utility of our correction. In addition, slice-dependent non-stationary variance is experimentally determined to be optimally characterized by an inverse Gamma distribution. The resulting distribution of a voxel's signal intensity is analytically derived to be a generalized Student's-t distribution, providing support for the Gaussianity assumption typically imposed by fMRI connectivity methods.

scholarly journals Fire Sales, Default Cascades and Complex Financial Networks

2021 ◽  
Author(s):  
Hamed Amini ◽  
Zhongyuan Cao ◽  
Agnes Sulem
Keyword(s):  
Financial Networks ◽  
Fire Sales
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