Related papers: Fluctuation Analysis for the Loss From Default

The fluctuation-dissipation relation is calculated for a class of stochastic models obeying a master equation. The transition rates are assumed to obey detailed balance also in the presence of a field. It is shown that in general the linear…

There has been an increasing interest in the quantification of nearly deterministic work extraction from a finite number of copies of microscopic particles in finite time. This paradigm, so called single-shot epsilon-deterministic work…

We consider data losses in a single node of a packet-switched Internet-like network. We employ two distinct models, one with discrete and the other with continuous one-dimensional random walks, representing the state of a queue in a router.…

The estimation of mutation probabilities and relative fitnesses in fluctuation analysis is based on the unrealistic hypothesis that the single-cell times to division are exponentially distributed. Using the classical Luria-Delbr\"{u}ck…

We investigate the fluctuations around the average density profile in the weakly asymmetric exclusion process with open boundaries in the steady state. We show that these fluctuations are given, in the macroscopic limit, by a centered…

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 large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system…

An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually…

The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…

Damping on an object generally depends on its conformation (shape size etc.). We consider the Langevin dynamics of a model system with a conformation dependent damping and generalize the fluctuation dissipation relation to fit in such a…

We study fluctuations of small noise multiscale diffusions around their homogenized deterministic limit. We derive quantitative rates of convergence of the fluctuation processes to their Gaussian limits in the appropriate Wasserstein metric…

The detrended fluctuation analysis (DFA) is one of the most widely used tools for the detection of long-range correlations in time series. Although DFA has found many interesting applications and has been shown as one of the best performing…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…

We numerically analyse quantum survival probability fluctuations in an open, classically chaotic system. In a quasi-classical regime, and in the presence of classical mixed phase space, such fluctuations are believed to exhibit a fractal…

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 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…

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…

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…

Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additional assumptions are…

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…