Related papers: On Infectious Model for Dependent Defaults
Bayesian networks are powerful statistical models to study the probabilistic relationships among set random variables with major applications in disease modeling and prediction. Here, we propose a continuous time Bayesian network with…
We consider state and parameter estimation for compartmental models having both time-varying and time-invariant parameters. Though the described Bayesian computational framework is general, we look at a specific application to the…
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data and derive a simpler expression for…
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation processes. The method may be applied to…
This paper develops new methods for causal inference in observational studies on a single large network of interconnected units, addressing two key challenges: long-range dependence among units and the presence of general interference. We…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
The focus of this article is on the dynamics of a new susceptible-infected model which consists of a susceptible group ($S$) and two different infectious groups ($I_1$ and $I_2$). Once infected, an individual becomes a member of one of…
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
We study two simple mathematical models of the epidemic. At first, we study the repetitive infection spreading in a simplified SIRS model including the effect of the decay of the acquired immune. The model is an intermediate model of the…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the…
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we…
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is…
Theory of graphical models has matured over more than three decades to provide the backbone for several classes of models that are used in a myriad of applications such as genetic mapping of diseases, credit risk evaluation, reliability and…
A stochastic epidemic model is defined in which each individual belongs to a household, a secondary grouping (typically school or workplace) and also the community as a whole. Moreover, infectious contacts take place in these three settings…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
The primary tool for predicting infectious disease spread and intervention effectiveness is the mass action Susceptible-Infected-Recovered model of Kermack and McKendrick. Its usefulness derives largely from its conceptual and mathematical…
This article introduces epidemia, an R package for Bayesian, regression-oriented modeling of infectious diseases. The implemented models define a likelihood for all observed data while also explicitly modeling transmission dynamics: an…