This paper contributes to model the industry interconnecting structure in a network context. General predictive model (Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the construction of industry interdependency networks. Empirical results show a...

This paper aims to shed light on the emergence of systemic risk in credit systems. By developing an interbank market with heterogeneous financial institutions granting loans on different network structures, we investigate what market architecture is more resilient to liquidity shocks and how the...

Regarding complex networks, one of the most relevant problems is to understand and to explore community structure. In particular it is important to define the network organization and the functions associated to the different network partitions. In this context, the idea is to consider some new...