Related papers: On Pricing Basket Credit Default Swaps
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
We study large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system…
In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our…
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We…
We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that…
Problem definition: Mining for heterogeneous responses to an intervention is a crucial step for data-driven operations, for instance to personalize treatment or pricing. We investigate how to estimate price sensitivity from…
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the existing alternatives, but triggers…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We study a majority based preference diffusion model in which the members of a social network update their preferences based on those of their connections. Consider an undirected graph where each node has a strict linear order over a set of…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
In this paper we propose to extend the separable temporal exponential random graph model (STERGM) to account for time-varying network- and actor-specific effects. Our application case is the network of international major conventional…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
This paper is concerned with classes of models of stochastic reaction dynamics with time-scales separation. We demonstrate that the existence of the time-scale separation naturally leads to the application of the averaging principle and…
A direct method for calculating default rates by industry and target corporate segments is not possible given the lack of statistical data. The proposed paper considers a model for filtering the dynamics of the probability of default of…
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
Many epidemic processes in networks spread by stochastic contacts among their connected vertices. There are two limiting cases widely analyzed in the physics literature, the so-called contact process (CP) where the contagion is expanded at…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…