interdependence from joint extreme movements based on bivariate extreme value theory and classification analysis. Furthermore, we … propose a new ranking strategy regarding the influence of institutions based on the network effects and quantile regression …

This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and … shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and … network strategy formed on causal connections is uncorrelated with popular benchmarks and generates a significant alpha, while …

network exposures. We study the problem of designing a network that provides the right individual incentives. Motivated by … cybersecurity, we first study the situation where the threat to the network comes from an intelligent adversary. We show that, by … addressed by disconnecting the network into two unequal components and sacrificing some nodes. At high costs, under …