Related papers: On Reduced Form Intensity-based Model with Trigger…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…
Risk-averse investors often wish to exclude stocks from their portfolios that bear high credit risk, which is a measure of a firm's likelihood of bankruptcy. This risk is commonly estimated by constructing signals from quarterly accounting…
Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…
Event datasets are sequences of events of various types occurring irregularly over the time-line, and they are increasingly prevalent in numerous domains. Existing work for modeling events using conditional intensities rely on either using…
This paper studies the problem of event-triggered impulsive control for discrete-time systems. A novel periodic event-triggering scheme with two tunable parameters is presented to determine the moments of updating impulsive control signals…
Currently, system operators implement demand response by dispatching controllable loads for economic reasons in day-ahead scheduling. Particularly, demand shifting from peak hours when the cost of electricity is higher to non-peak hours to…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
The estimation of marginal loan write-off probabilities is a non-trivial task when modelling the loss given default (LGD) risk parameter in credit risk. We explore two types of survival models in estimating the overall write-off probability…
It is a common practice in randomized clinical trials with the standard survival outcome to follow patients until a prespecified number of events have been observed, a type of trial known as the event-driven trial. The event-driven design…
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,…
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after the occurrence of credit events. Using…
In this paper, we propose an adaptive event-triggered reinforcement learning control for continuous-time nonlinear systems, subject to bounded uncertainties, characterized by complex interactions. Specifically, the proposed method is…
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp…
Reliable estimates of indirect economic losses arising from natural disasters are currently out of scientific reach. To address this problem, we propose a novel approach that combines a probabilistic physical damage catastrophe model with a…
The control systems are an essential part of every engineering system in any industrial application. The basic purpose of controls is to manage the internal operations of the system and detect any unwanted or uncertain situation. Failure in…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
We demonstrate the use of Adaptive Stress Testing to detect and address potential vulnerabilities in a financial environment. We develop a simplified model for credit card fraud detection that utilizes a linear regression classifier based…
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: an infection attempt generated by defaulting entities and a…