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Register a new userRegshock: Interactive Visual Analytics of Systemic Risk in Financial Networks
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Added by
Zhibin Niu
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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Financial regulatory agencies are struggling to manage the systemic risks attributed to negative economic shocks. Preventive interventions are prominent to eliminate the risks and help to build a more resilient financial system. Although tremendous efforts have been made to measure multi-risk severity levels, understand the contagion behaviors and other risk management problems, there still lacks a theoretical framework revealing what and how regulatory intervention measurements can mitigate systemic risk. Here we demonstrate regshock, a practical visual analytical approach to support the exploration and evaluation of financial regulation measurements. We propose risk-island, an unprecedented risk-centered visualization algorithm to help uncover the risk patterns while preserving the topology of financial networks. We further propose regshock, a novel visual exploration and assessment approach based on the simulation-intervention-evaluation analysis loop, to provide a heuristic surgical intervention capability for systemic risk mitigation. We evaluate our approach through extensive case studies and expert reviews. To our knowledge, this is the first practical systemic method for the financial network intervention and risk mitigation problem; our validated approach potentially improves the risk management and control capabilities of financial experts.
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The outbreak of coronavirus disease (COVID-19) has swept across more than 180 countries and territories since late January 2020. As a worldwide emergency response, governments have taken various measures and implemented policies, such as self-quarantine, travel restrictions, work from home, and regional lockdown, to control the rapid spread of this epidemic. The common intention of these countermeasures is to restrict human mobility because COVID-19 is a highly contagious disease that is spread by human-to-human transmission. Medical experts and policy makers have expressed the urgency of being able to effectively evaluate the effects of human restriction policies with the aid of big data and information technology. Thus, in this study, based on big human mobility data and city POI data, we designed an interactive visual analytics system named EpiMob (Epidemic Mobility). The system interactively simulates the changes in human mobility and the number of infected people in response to the implementation of a certain restriction policy or combination of policies (e.g., regional lockdown, telecommuting, screening). Users can conveniently designate the spatial and temporal ranges for different mobility restriction policies, and the result reflecting the infection situation under different policies is dynamically displayed and can be flexibly compared. We completed multiple case studies of the largest metropolitan area in Japan (i.e., Greater Tokyo Area) and conducted interviews with domain experts to demonstrate that our system can provide illustrative insight by measuring and comparing the effects of different human mobility restriction policies for epidemic control.
In our previous paper, A Unified Approach to Systemic Risk Measures via Acceptance Set (textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual banks before aggregation of their risks. In the present paper, we prove the dual representation of a particular subclass of such systemic risk measures and the existence and uniqueness of the optimal allocation related to them. We also introduce an associated utility maximization problem which has the same optimal solution as the systemic risk measure. In addition, the optimizer in the dual formulation provides a textit{risk allocation} which is fair from the point of view of the individual financial institutions. The case with exponential utilities which allows for explicit computation is treated in details.
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the financial crisis, systemic risk levels might not have lowered, but even increased. It has been shown that systemic risk is to a large extent related to the underlying network topology of financial exposures. A natural question arising is how much systemic risk can be eliminated by optimally rearranging these networks and without increasing capital requirements. Overlapping portfolios with minimized systemic risk which provide the same market functionality as empirical ones have been studied by [pichler2018]. Here we propose a similar method for direct exposure networks, and apply it to cross-sectional interbank loan networks, consisting of 10 quarterly observations of the Austrian interbank market. We show that the suggested framework rearranges the network topology, such that systemic risk is reduced by a factor of approximately 3.5, and leaves the relevant economic features of the optimized network and its agents unchanged. The presented optimization procedure is not intended to actually re-configure interbank markets, but to demonstrate the huge potential for systemic risk management through rearranging exposure networks, in contrast to increasing capital requirements that were shown to have only marginal effects on systemic risk [poledna2017]. Ways to actually incentivize a self-organized formation toward optimal network configurations were introduced in [thurner2013] and [poledna2016]. For regulatory policies concerning financial market stability the knowledge of minimal systemic risk for a given economic environment can serve as a benchmark for monitoring actual systemic risk in markets.
Communication consists of both meta-information as well as content. Currently, the automated analysis of such data often focuses either on the network aspects via social network analysis or on the content, utilizing methods from text-mining. However, the first category of approaches does not leverage the rich content information, while the latter ignores the conversation environment and the temporal evolution, as evident in the meta-information. In contradiction to communication research, which stresses the importance of a holistic approach, both aspects are rarely applied simultaneously, and consequently, their combination has not yet received enough attention in automated analysis systems. In this work, we aim to address this challenge by discussing the difficulties and design decisions of such a path as well as contribute CommAID, a blueprint for a holistic strategy to communication analysis. It features an integrated visual analytics design to analyze communication networks through dynamics modeling, semantic pattern retrieval, and a user-adaptable and problem-specific machine learning-based retrieval system. An interactive multi-level matrix-based visualization facilitates a focused analysis of both network and content using inline visuals supporting cross-checks and reducing context switches. We evaluate our approach in both a case study and through formative evaluation with eight law enforcement experts using a real-world communication corpus. Results show that our solution surpasses existing techniques in terms of integration level and applicability. With this contribution, we aim to pave the path for a more holistic approach to communication analysis.
In recent years, a large number of research efforts aimed at the development of machine learning models to predict complex spatial-temporal mobility patterns and their impact on road traffic and infrastructure. However, the utility of these models is often diminished due to the lack of accessible user interfaces to view and analyse prediction results. In this paper, we present the Traffic Analytics Dashboard ( TA-Dash), an interactive dashboard that enables the visualisation of complex spatial-temporal urban traffic patterns. We demonstrate the utility of TA-Dash at the example of two recently proposed spatial-temporal models for urban traffic and urban road infrastructure analysis. In particular, the use cases include the analysis, prediction and visualisation of the impact of planned special events on urban road traffic as well as the analysis and visualisation of structural dependencies within urban road networks. The lightweight TA-Dash dashboard aims to address non-expert users involved in urban traffic management and mobility service planning. The TA-Dash builds on a flexible layer-based architecture that is easily adaptable to the visualisation of new models.
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