Related papers: A Random Matrix Approach to Credit Risk
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
We analyze statistical properties of the complex system with conditions which manifests through specific constraints on the column/row sum of the matrix elements. The presence of additional constraints besides symmetry leads to new…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…
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This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
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Random matrix theory is a powerful way to describe universal correlations of eigenvalues of complex systems. It also may serve as a schematic model for disorder in quantum systems. In this review, we discuss both types of applications of…
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Despite the tremendous advancements in the field of network theory, very few studies have taken weights in the interactions into consideration that emerge naturally in all real world systems. Using random matrix analysis of a weighted…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…