{"id":"https://openalex.org/W4403363700","doi":"https://doi.org/10.1137/24m1697402","title":"Computing Systemic Risk Measures with Graph Neural Networks","display_name":"Computing Systemic Risk Measures with Graph Neural Networks","publication_year":2026,"publication_date":"2026-05-21","ids":{"openalex":"https://openalex.org/W4403363700","doi":"https://doi.org/10.1137/24m1697402"},"language":"en","primary_location":{"id":"doi:10.1137/24m1697402","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1697402","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2410.07222","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5069340033","display_name":"Lukas Gonon","orcid":"https://orcid.org/0000-0003-3367-2455"},"institutions":[{"id":"https://openalex.org/I202963720","display_name":"University of St.Gallen","ror":"https://ror.org/0561a3s31","country_code":"CH","type":"education","lineage":["https://openalex.org/I202963720"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["CH","GB"],"is_corresponding":false,"raw_author_name":"Lukas Gonon","raw_affiliation_strings":["Department of Mathematics, Imperial College London, London, United Kingdom","School of Computer Science, University of St. Gallen, St. Gallen, Switzerland"],"raw_orcid":"https://orcid.org/0000-0003-3367-2455","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, London, United Kingdom","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"School of Computer Science, University of St. Gallen, St. Gallen, Switzerland","institution_ids":["https://openalex.org/I202963720"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065755537","display_name":"Thilo Meyer\u2010Brandis","orcid":"https://orcid.org/0000-0002-6374-7983"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Thilo Meyer-Brandis","raw_affiliation_strings":["Department of Mathematics, LMU Munich, Munich, Germany"],"raw_orcid":"https://orcid.org/0000-0002-6374-7983","affiliations":[{"raw_affiliation_string":"Department of Mathematics, LMU Munich, Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]}]},{"author_position":"last","author":{"id":null,"display_name":"Niklas Weber","orcid":"https://orcid.org/0000-0002-3188-7113"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Niklas Weber","raw_affiliation_strings":["Department of Mathematics, LMU Munich, Munich, Germany"],"raw_orcid":"https://orcid.org/0000-0002-3188-7113","affiliations":[{"raw_affiliation_string":"Department of Mathematics, LMU Munich, Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.00137495,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"17","issue":"2","first_page":"565","last_page":"619"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11357","display_name":"Risk and Safety Analysis","score":0.9480999708175659,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11357","display_name":"Risk and Safety Analysis","score":0.9480999708175659,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10876","display_name":"Fault Detection and Control Systems","score":0.9110000133514404,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-risk","display_name":"Systemic risk","score":0.7429817318916321},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.48603349924087524},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.45708346366882324},{"id":"https://openalex.org/keywords/graph","display_name":"Graph","score":0.420537531375885},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2831360101699829},{"id":"https://openalex.org/keywords/theoretical-computer-science","display_name":"Theoretical computer science","score":0.22668948769569397},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.12275654077529907}],"concepts":[{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.7429817318916321},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.48603349924087524},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.45708346366882324},{"id":"https://openalex.org/C132525143","wikidata":"https://www.wikidata.org/wiki/Q141488","display_name":"Graph","level":2,"score":0.420537531375885},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2831360101699829},{"id":"https://openalex.org/C80444323","wikidata":"https://www.wikidata.org/wiki/Q2878974","display_name":"Theoretical computer science","level":1,"score":0.22668948769569397},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.12275654077529907},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1137/24m1697402","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1697402","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2410.07222","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2410.07222","pdf_url":"https://arxiv.org/pdf/2410.07222","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:2410.07222","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.2410.07222","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2410.07222","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2410.07222","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2410.07222","pdf_url":"https://arxiv.org/pdf/2410.07222","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4403363700.pdf"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2748952813","https://openalex.org/W613889982","https://openalex.org/W2892044735","https://openalex.org/W2347071282","https://openalex.org/W348488691","https://openalex.org/W3124300971","https://openalex.org/W2953117877","https://openalex.org/W4301357666","https://openalex.org/W3124654348"],"abstract_inverted_index":{"This":[0],"paper":[1],"investigates":[2],"systemic":[3,20,87],"risk":[4,21,88],"measures":[5,22],"for":[6,83],"stochastic":[7],"financial":[8],"networks":[9,102,106,118],"of":[10,19,63,86,100,131],"explicitly":[11],"modelled":[12],"bilateral":[13],"liabilities.":[14],"We":[15,79,93,120],"extend":[16],"the":[17,61,70,77,84,144],"notion":[18],"from":[23,45],"Biagini,":[24],"Fouque,":[25],"Fritelli":[26],"and":[27,53,75,89,108,133],"Meyer-Brandis":[28],"(2019)":[29],"to":[30,95,124,143,161],"graph":[31,104,146],"structured":[32],"data.":[33,147],"In":[34,56,148],"particular,":[35],"we":[36,59,112,151],"focus":[37],"on":[38],"an":[39,64],"aggregation":[40],"function":[41],"that":[42,68,111,136,154],"is":[43,135],"derived":[44],"a":[46,109],"market":[47],"clearing":[48],"algorithm":[49],"proposed":[50],"by":[51],"Eisenberg":[52],"Noe":[54],"(2001).":[55],"this":[57],"setting,":[58],"show":[60],"existence":[62],"optimal":[65,90],"random":[66,91],"allocation":[67],"distributes":[69],"overall":[71],"minimal":[72],"bailout":[73],"capital":[74],"secures":[76],"network.":[78],"study":[80],"numerical":[81,149],"methods":[82,158],"approximation":[85],"allocations.":[92,127],"propose":[94],"use":[96],"permutation":[97,115,139,156],"equivariant":[98,116,140,157],"architectures":[99],"neural":[101,105,117],"like":[103],"(GNNs)":[107],"class":[110],"name":[113],"(extended)":[114],"((X)PENNs).":[119],"compare":[121],"their":[122],"performance":[123],"several":[125],"benchmark":[126],"The":[128],"main":[129],"feature":[130],"GNNs":[132],"(X)PENNs":[134],"they":[137],"are":[138,159],"with":[141],"respect":[142],"underlying":[145],"experiments":[150],"find":[152],"evidence":[153],"these":[155],"superior":[160],"other":[162],"approaches.":[163]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}