The scope of financial systemic risk research encompasses a wide range of channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset firesales. For example, insolvency of a given bank will create a shock to the asset side of the balance sheet of...

This paper constructs a class of multivariate Gaussian marked Poisson processes to model asset returns. The model proposed accommodates the cross section properties of trades, allows for returns to be correlated conditional on trading activity, and preserves the economic intuition of normality...

A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between banks, the possibility of disassortative edge probabilities...

We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default swaps. In our approach, the two sides of the stylized...

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time fac- tor approach. The model allows for imperfect correlation of mortality intensity across generations. It is implemented on UK data for the period...

Power network models often incorporate risks from extreme weather events to inform public policy but lack consideration of emerging risks such as cyberattacks. This is due to the increased risk of cyberattacks being difficult to model. In this work, we propose a stochastic approach to...

Cyber risk has emerged as a significant threat to businesses that have increasingly relied on new and existing information technologies (IT). Across various businesses in different industries and sectors, a distinct pattern of IT network architectures, such as the client-server network...

Networks like those of healthcare infrastructure have been a primary target of cyberattacks for over a decade. From just a single cyberattack, a healthcare facility would expect to see millions of dollars in losses from legal fines, business interruption, and malpractice lawsuits. As more...

The majority of work in mortality modeling involves factor-based approaches, with little use of information on the determinants and interpretable risk factors of mortality. At the same time, in the demographic community, there has been a lack of research attention towards the study of mortality...

We propose a new overarching interpretation of multidimensional information flows and their relation to market movements. The new conceptualization hinges on results of two distinct mathematical theories, Lévy processes and marked Poisson processes, bridged in Jevtić et al. (2016) and applied...