Related papers: On Infectious Model for Dependent Defaults
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting…
Structural causal models postulate noisy functional relations among a set of interacting variables. The causal structure underlying each such model is naturally represented by a directed graph whose edges indicate for each variable which…
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside…
In this paper, we focus on the node-based epidemic modeling for networks, introduce the propagation medium and propose a node-based Susceptible-Infected-Recovered-Susceptible (SIRS) epidemic model with infective media. Theoretical…
Infectious disease modeling is used to forecast epidemics and assess the effectiveness of intervention strategies. Although the core assumption of mass-action models of homogeneously mixed population is often implausible, they are…
We present a sample path dependent measure of causal influence between time series. The proposed causal measure is a random sequence, a realization of which enables identification of specific patterns that give rise to high levels of causal…
Analysis of competing risks data plays an important role in the lifetime data analysis. Recently Feizjavadian and Hashemi (Computational Statistics and Data Analysis, vol. 82, 19-34, 2015) provided a classical inference of a competing risks…
In the infectious disease literature, significant effort has been devoted to studying dynamics at a single scale. For example, compartmental models describing population-level dynamics are often formulated using differential equations. In…
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…
Individual-level epidemic models are increasingly being used to help understand the transmission dynamics of various infectious diseases. However, fitting such models to individual-level epidemic data is challenging, as we often only know…
Cator and Van Mieghem [Cator E, Van Mieghem P., Phys. Rev. E 89, 052802 (2014)] stated that the correlation of infection at the same time between any pair of nodes in a network is non-negative for the Markovian SIS and SIR epidemic models.…
In the real world, many complex systems interact with other systems. In addition, the intra- or inter-systems for the spread of information about infectious diseases and the transmission of infectious diseases are often not random, but with…
Many marketing applications, including credit card incentive programs, offer rewards to customers who exceed specific spending thresholds to encourage increased consumption. Quantifying the causal effect of these thresholds on customers is…
We perform a bifurcation analysis on an SIR model involving two pathogens that influences each other. Partial cross-immunity is assumed and coinfection is thought to be less transmittable then each of the diseases alone. The susceptible…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
Fintech lending has become a central mechanism through which digital platforms stimulate consumption, offering dynamic, personalized credit limits that directly shape the purchasing power of consumers. Although prior research shows that…
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, the problem can be embedded in a Markovian framework. Using…
We consider the edge-based compartmental models for infectious disease spread introduced in Part I. These models allow us to consider standard SIR diseases spreading in random populations. In this paper we show how to handle deviations of…
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic…