Related papers: Bankruptcy risk model and empirical tests
Catastrophe Markov chain population models have received a lot of attention in the recent past. We herewith consider two special cases of such models involving total disasters, both in discrete and in continuous-time. Depending on the…
We document the rise of negative earnings between 1980 and 2019: a secular increase in the percent of firms reporting losses, both among public firms and in the broader universe of US corporations, and a secular increase in the persistence…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
We complement the rich conceptual work on organizational corruption by quantitatively modelling the spread of corruption within organizations. We systematically vary four organizational culture-related parameters, i.e., organization…
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond to the firms and the edges describe the…
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce…
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, dynasties have linear consumption functions…
We investigate the relative information content of six measures of dependence between two random variables $X$ and $Y$ for large or extreme events for several models of interest for financial time series. The six measures of dependence are…
The Paycheck Protection Program (PPP) was the largest targeted business support program in the United States, yet its firm-level effects remain contested. I link administrative PPP and SBA 7(a) records to a near-universe panel of U.S.…
This paper examines the dynamic interaction between falling and rising markets for both the real and the financial sectors of the largest economy in the world using asymmetric causality tests. These tests require that each underlying…
The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We…
Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free…
A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
During the COVID pandemic, periods of exponential growth of the disease have been mitigated by containment measures that in different occasions have resulted in a power-law growth of the number of cases. The first observation of such…
Dynamics of the major USA market indices DJIA, S&P, Nasdaq, and NYSE is analyzed from the point of view of the random walking problem with two-step correlations of the market moves. The parameters characterizing the stochastic dynamics are…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…