Related papers: On Reduced Form Intensity-based Model with Trigger…
Groups of enterprises can serve as guarantees for one another and form complex networks when obtaining loans from commercial banks. During economic slowdowns, corporate default may spread like a virus and lead to large-scale defaults or…
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to…
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
In this paper, we present a model-based periodic event-triggered control mechanism for nonlinear continuous-time Networked Control Systems. A sampled-data prediction of the system behavior is used at the actuator to reduce the amount of…
Decentralized control systems are widely used in a number of situations and applications. In order for these systems to function properly and achieve their desired goals, information must be propagated between agents, which requires…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…
Event-triggered networked control of a linear dynamical system is investigated. Specifically, the dynamical system and the controller are assumed to be connected through a communication channel. State and control input information packets…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by [9], but compared to [9] we allow the best bid ask spread to be larger…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
This paper proposes a distributed event-triggered control method that not only guarantees consensus of multi-agent systems but also satisfies a given LQ performance constraint. Taking the standard distributed control scheme with all-time…
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and…
United States (US) IG bonds typically trade at modest spreads over US Treasuries, reflecting the credit risk tied to a corporation's default potential. During market crises, IG spreads often widen and liquidity tends to decrease, likely due…
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest rate, and also allows for…
In this paper, we consider the event-triggered cooperative robust practical output regulation problem for a class of linear minimum-phase multi-agent systems. We first convert our problem into the cooperative robust practical stabilization…
We are now witnessing the increasing availability of event stream data, i.e., a sequence of events with each event typically being denoted by the time it occurs and its mark information (e.g., event type). A fundamental problem is to model…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…