Related papers: Fluctuation Analysis for the Loss From Default
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framework. We address the…
The classical fluctuation-dissipation theorem predicts the average response of a dynamical system to an external deterministic perturbation via time-lagged statistical correlation functions of the corresponding unperturbed system. In this…
We study fluctuations in the number of zeros of random analytic functions given by a Taylor series whose coefficients are independent complex Gaussians. When the functions are entire, we find sharp bounds for the asymptotic growth rate of…
This article studies the fluctuation behaviour of the stochastic point vortex model with common noise. Using the martingale method combined with a localization argument, we prove that the sequence of fluctuation processes converges in…
We show how a general formulation of the Fluctuation-Response Relation is able to describe in detail the connection between response properties to external perturbations and spontaneous fluctuations in systems with fast and slow variables.…
Previously derived expressions for the characteristic function of work performed on a quantum system by a classical external force are generalized to arbitrary initial states of the considered system and to Hamiltonians with degenerate…
This study presents a method to predict the growth fluctuation of firms interdependent in a network economy. The risk of downward growth fluctuation of firms is calculated from the statistics on Japanese industry.
Systems that are driven out of thermal equilibrium typically dissipate random quantities of energy on microscopic scales. Crooks fluctuation theorem relates the distribution of these random work costs with the corresponding distribution for…
The directed bond percolation process is studied in the presence of com- pressible velocity fluctuations with long-range correlations. We discuss a construction of a field theoretic action and a way of obtaining its large scale properties…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first step, we show that the long-run default rate is approximately…
We propose a method for approximating the large deviation rate function of time-integrated observables of diffusion processes, used in statistical physics to characterize the fluctuations of nonequilibrium systems. The method is based on…
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
We study the Fluctuation Theorem (FT) for entropy production in chaotic discrete-time dynamical systems on compact metric spaces, and extend it to empirical measures, all continuous potentials, and all weak Gibbs states. In particular, we…
The global energy fluctuations of a low density gas granular gas in the homogeneous cooling state near its clustering instability are studied by means of molecular dynamics simulations. The relative dispersion of the fluctuations is shown…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
We consider two seemingly very different self-assembly processes: formation of viral capsids, and crystallization of sticky discs. At low temperatures, assembly is ineffective, since there are many metastable disordered states, which are a…
The problem of estimation error in portfolio optimization is discussed, in the limit where the portfolio size N and the sample size T go to infinity such that their ratio is fixed. The estimation error strongly depends on the ratio N/T and…