Glossary · SIGMA Intelligence

Phantom Chain

A counterfactual scenario generator that computes the most probable cascade sequences — the "hidden" chains of failure that connect an initial stress event to its systemic consequences.

Definition

The Phantom Chain engine generates probabilistic crisis scenarios by forward-simulating the network effects of a stress event. Given a triggering event (e.g., a sovereign downgrade, a bank failure, a commodity spike), Phantom Chain computes the N most likely cascade sequences — which institutions fail next, in which order, and with what probability. The "phantom" refers to the hidden network links that are invisible in balance sheet data but emerge under stress: fire sale correlations, funding network dependencies, and behavioral contagion. Phantom Chain outputs include probability-weighted scenario trees, contagion path maps, and confidence intervals for each cascade step.

In the SIGMA Engine

Phantom Chain scenarios are available on each intelligence report page. When SIGMA crosses 80, the engine generates 3–5 Phantom scenarios for that entity. Pro plan subscribers receive Phantom Chain scenario reports with full probability trees, named institution exposure estimates, and recommended portfolio positioning.

Frequently Asked

How many scenarios does Phantom Chain generate?

For entities with SIGMA > 65, Phantom Chain generates 3 scenarios (base, adverse, severe). For SIGMA > 80, it generates 5 scenarios (base, adverse, severe, tail, black swan). Each scenario includes probability estimates, timeline, cascade path, and affected entities.

Is Phantom Chain based on real network data?

Phantom Chain uses publicly available data on banking sector interconnections (BIS, ECB, Fed), sovereign debt holders (IMF SDDS), and cross-border financial flows (BIS). It supplements this with structural estimates for undisclosed exposures based on network topology inference.

Related Concepts

SIGMA Score Contagion Coefficient Systemic Risk